Buffett's warning on perils of volatility is well justified, argues Kaminski
ABSTRACT Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Value-at-risk (VAR) articles
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Hedging threatened by treatment of liquidity and diversification, critics claim
ABSTRACT This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR) and conditional value-at-risk (CVaR). Comparing a bubble economy and a...
Regulators argue a backstop is needed to avoid too-low modelled numbers
Quants find way to streamline future value calculations for exotic
Modeling multivariate return distributions via copula functions is a common approach in financial risk management. However, evidence of the impact of choosing a particular copula function on different...
In this paper, we generalize Vasicek's asymptotic single-risk factor solution to multiple factors organized with a particular hierarchical structure. We use this model to investigate credit portfolio loss....
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
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.