Criticism of expected shortfall has been muted, but concerns are growing
This paper proposes a formula for a market stress test of a portfolio.
Hard to gauge impact of ambitious proposals, says market risk head
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More Market risk articles
Volume 8, Issue 2 (2014)
UBS op risk framework head describes struggle with defining op risk appetite
A procedure is developed to test whether conditional variances are constant over time in the context of generalized autoregressive conditional heteroscedasticity (GARCH) models with possible GARCH-in-mean...
Rise of standardised approach would be 'a loss for the banking industry'
Op risk disconnect from business, conference hears
Banks must involve op risk in strategy decisions, says RBS' Spielmann
From Berlin to Birmingham, from Tampa Bay to Dallas, banks have tried to boost their risk management resources – while keeping a lid on expense – by building teams in relatively low-cost cities....
Canadian regulator wants its banks to compete on same terms as US rivals
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
We present an alternative approach to hedging in incomplete markets. A corresponding alternative risk-minimization algorithm that identifies an optimal hedging portfolio consistent with initial capital...
Latest EY risk management survey finds risk culture questions remain
The Basel Committee decided earlier this year to include collateral outflows arising from changes in derivatives values in bank liquidity requirements. Their suggested approach, however, has worried...
This paper uses Poisson jump risk and exchange-rate risk to consider asset returns and exchange rates under different jump-diffusion processes, to provide an analytical value-at-risk (VaR) for international...
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.