A round-up of the year’s topics, trends and citations in Risk's technical articles
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More John Hull articles
Arch-critic of funding valuation adjustment says regulation will make it obsolete – reducing industry's exposure to arbitrage
Academics who ignited fierce debate on funding valuation adjustment return with new paper
Nearly two thirds of survey respondents disagree with Hull and White’s argument that funding valuation adjustment should be ignored
No going back from FVA, says Imperial College professor – and other speakers at the conference agreed
The FVA debate continues
New York-based inter-dealer broker GFI has launched its credit derivatives pricing tool, Fenics Credit. GFI partnered with risk management and derivatives academics John Hull and Alan White to devel...
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.