Tail risk
US structurer: Credit Suisse
Original headline:
Source: Structured Products
Credit Suisse
Original headline:
Source: Risk magazine
The Basel Committee will consider ditching value-at-risk as the basis for trading book capital, but an obvious alternative, expected shortfall, has problems of its own. Laurie Carver reports
Original headline:
Source: Risk magazine
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
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More Tail risk articles
Equity derivatives house of the year: JP Morgan
Original headline:
Source: Risk magazine
Japan’s equity markets started 2011 in good shape. The Nikkei 225 index had climbed 18% over the previous four months and added a bit more ground during the first quarter, up to the point markets closed on March 10. The next day – a Friday – at...
Dealers count cost of Santander's Brazilian real hedges
Original headline:
Source: Risk magazine
Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like a stone in late September. By Peter Madigan
Asian institutional investors take aggressive stance on volatility
Original headline:
Source: Asia Risk
The potential for another systemic meltdown is a clear and present danger given the precarious state of eurozone public finances plus global debt and credit imbalances. But Asian investors are not rushing to buy crash protection. Rather, with implied...
Investors at risk of being misled as alpha strategies gain in popularity...
Original headline:
Source: Structured Products
As demand for alpha strategies intensifies, market participants warn that the use, or rather misuse, of the term alpha could provide investors with a false sense of security about underlying attributes and risks. Magda Ali report
Eurozone deal brings relief in forex spot and options
Published online only
Source: Risk magazine
Risk sentiment appeared to make a comeback in forex markets yesterday, as options volatility fell from record highs and the euro rallied in response to the deal announced after the Euro Summit in Brussels
Economic depression is world's top risk, says Towers Watson ranking
Published online only
Source: Operational Risk & Regulation
The global financial environment continues to show imbalances, and is not in a good position to withstand shocks, says Tim Hodgson
Market volatility spurs interest in tail-risk management strategies
Original headline:
Source: Life & Pension Risk
The financial crisis and resulting regulatory expectations have left insurers and pension funds increasingly aware that severe and unexpected risks hide behind every corner. The question of how to deal with them remains open. Thomas Whittaker reports...
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