Industry lobbying prompts regulator to revive plans for a further impact study
ABSTRACT This paper analyzes and quantifies the idea of model risk in the environment of internal model building. We define various types of model risk including estimation risk, model risk in distribution...
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Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Separate treatments can lead to underestimation of total risk
A side-effect of tough bank capital rules could be the rise of dark pools for credit trading
Bank of England to apply price shocks based on unwind periods
ABSTRACT This paper examines whether the comparison of value-at-risk (VaR) models depends on the loss function used for such a purpose.We showa detailed comparison for several VaR models for two groups...
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Hedging threatened by treatment of liquidity and diversification, critics claim
Regulators argue a backstop is needed to avoid too-low modelled numbers
This study employs a bivariate asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) model to estimate the return, variance and covariance for three stock-based portfolios composed...
This paper proposes a formula for a market stress test of a portfolio.
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.