The December issue of The Journal of Risk Model Validation consists of one backtesting paper and three papers on value-at-risk. There are a number of subthemes that involve at least two of the papers:...
We discuss the relative performances of value-at-risk (VaR) models using generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-Runkle GARCH and integrated GARCH (IGARCH)...
Value-at-risk (VaR) is a common tool applied by market makers to monitor the risk of any trading position. The conventional VaR model assumes a frictionless market, which is seldom the case. The 2008 financial...
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More Risk management articles
This paper analyzes the factors influencing the sovereign credit ratings of the new EU member states along with potential entrants. We model the ratings of the three rating agencies using a range of macroeconomic...
We present the results of a business solution on how to measure credit and counterparty risk, with the main focus on over-the-counter derivatives. Moreover, we use this approach to include the measurement...
Focus needs to be on reacting, not stopping every threat
Keeping track of fraud and money laundering made easier through machine learning
BBA conference describes problems in improving culture
Risk's annual round-up of new software developments
Operational risk loss data – November 2014
Government review calls for bank capital levels in "top quartile"
What impact does the 'revolving door' have on regulatory independence?
Operational risks from microlending increasing in developed and developing world
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