The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Concerns over the governance of submitted data and costs could spawn rival initiatives
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
Sponsored forum: Asset Control
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
Industry study challenges regulators' estimate of a 40% capital increase
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
Pooling market risk factor data could cut capital requirements
Using Volcker desk structure may hurt model approval chances, banks say
Dealers face test of endurance to win model approval and avoid penal standardised charge
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Latest FRTB tweaks also include increasing granularity of commodity risk weights
Analysis shows some trading desks receive lower capital with stressed market risk charge
Sponsored feature: BNP Paribas Securities Service
Quick fixes should have no place in a sweeping three-year reform project
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.