Value-at-risk (var)
Bank models are built on foundations of sand
Original headline:
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
Original headline:
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly...
Original headline:
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn...
Worried about regulation?
Read in-depth analysis of top regulatory issues today!
Find the information you need in articles from across Risk.net on Basel III, the Dodd-Frank Act, and Solvency II.
More Value-at-risk (var) articles
Credit derivatives house of the year: Deutsche Bank
Original headline:
The credit derivatives market has not seen a year like 2011. Volatility was higher in the aftermath of the Lehman Brothers collapse in September 2008, but it focused primarily on financial names. Last year’s fear was less discriminating, encompassing...
A historical-parametric hybrid VAR
Original headline:
The calculation of value-at-risk by historical simulation suffers increasingly from the problem of missing market data as the number of time series being included grows. This problem, therefore, tends to be particularly severe when VAR is used for calculating...
A historical-parametric hybrid VAR
Original headline:
The calculation of value-at-risk by historical simulation suffers increasingly from the problem of missing market data as the number of time series being included grows. This problem therefore tends to be particularly severe when VAR is used for calculating...
Credit Suisse and UBS on Basel 2.5: Half a world away
Original headline:
Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged...
Delayed Basel trading book review will be broad, say supervisors
Published online only
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change
Margin models converge as CCPs battle for dealer support
Published online only
Dealers say they won’t join clearing houses that are not robust – and have already blackballed one central counterparty. As a result, the initial margin methodologies employed by the big rates clearers have begun to converge. Matt Cameron reports...
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Original headline:
The Dodd-Frank Act means elements of Basel’s new trading book rules cannot be implemented in the US – although supervisors claim it will only be a temporary reprieve. A review of the rules has also been delayed. Mark Pengelly reports
Forgot your Risk.net password?
Renew your password now!
Make sure you don't miss a day of Risk.net's essential content. Refresh your password today online!
Related conferences
-
Risk South Africa
South Africa, 28th - 2nd Mar 2012
-
OpRisk North America 2012
USA, 20th - 23rd Mar 2012
-
Risk Annual Summit
UK, 20th - 23rd Mar 2012
-
Risk & Return Россия 2012
Russia, 25th Apr 2012
-
Risk and Return Russia
Russia, 25th Apr 2012
Related training
-
Nexus-Risk Training
USA, 26th Oct 2012
-
Marcello Minenna on Derivative Pricing and Model Calibration: Tools and Techniques
UK, 15th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
UK, 16th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
USA, 23rd - 24th Feb 2012
-
Patrick Hagan on Fixed Income
UK, 23rd - 24th Feb 2012
Updating your subscription status 
Email alerts
Weekly poll
Technology white papers
Related Jobs
