Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Value-at-risk (var) articles
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Volume 9, Issue 3, 2014
Most advanced measurement approaches cannot simultaneously capture the overall dependence between operational risk components and be easy to use and understand. This paper proposes a mutual information-based...
Volume 8, Issue 2 (2014)
Volume 17, Issue 4 (2014)
Some banks worry they may not have enough data to implement expected shortfall safely
We investigate the empirical performance of hedging strategies based on Greeks, such as Delta and Delta-Gamma, for (European-style) crude oil options in a generalized autoregressive conditional heteroscedasticity...
How to actively manage the value-at-risk of energy derivatives
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.