Active deals seen as “the next step” after last year’s revival of static CDOs
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:...
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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Variable annuity products must avoid the derivatives witch hunt
Risk awards 2012
Bank of America Merrill Lynch has developed a liquid volatility index for institutions which are seeking a systematic tail risk hedge.
Shell Gas Direct’s chief tells Energy Risk that major end-users’ credit worthiness will be one of four major challenges for industrial and commercial users in the next few years
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.
Kuwait’s Organisation of the Petroleum Exporting Countries (OPEC) oil minister says oil prices are set to fall further amidst continuing concerns over the global economic recovery
The financial regulator, Matthew Elderfield, has warned Irish insurers that he will be more interventionist, rather than wait for a market failure to manifest itself and then cautiously weigh up the...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.