Regulators are pushing ahead too quickly with their ambitious review of trading book capital rules, making it difficult to assess the impact, warns Niels Kjaer, Nordea's market risk chief. By Cécile Sourbes...
Backtesting is an essential component of the implementation and operation of any risk model. As perhaps the most well-known market risk metric, value-at-risk (VaR) has received regulatory, industry and...
Credit risk and market risk much easier to set appetite for, conference hears, but operational risk is considered in terms of tolerance rather than appetite
More Market risk articles
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 effects. The approach is based on the quasilikelihood...
Panellists expect capital and complexity to jump under revised trading book regime, removing the incentive to obtain modelling approval
Operational risk still not recognised equally with market and credit risk, conference hears
Op risk needs to be at businesses' strategic table in order to prevent next crisis
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. But do these far-flung offices improve performance?...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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