Value-at-risk (var)
Applied risk management series: Venturing beyond VAR
In this article, Carlos Blanco and José Ramón Aragonés review the historical simulation methodology used to estimate value-at-risk and expected tail loss, while including adjustments to traditional...
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
As more institutional investors opt for hedge funds, robust risk management is being seen as a central function needed in order to raise capital, according to a survey by Prmia and SunGard APT
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Value-at-risk (var) articles
Latest Issue: Volume 15/Number 3, Spring 2013
Farid AitSahlia Warrington College of Business Administration, University of Florida The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure...
JP Morgan manipulated VAR and CRM models at London whale unit - Senate...
Trading book capital measures were at heart of efforts to free up traders and reduce capital
Swap futures margins may be underestimating risk exposures
A difference in margin approach between swaps and futures may mean the latter are not assessed on their level of riskiness
Mooted VAR substitute cannot be back-tested, says top quant
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Bank capital models need more consistency: OCC's Pasch
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Bank commodity VAR remains muted in Q4
Fourth-quarter results show low risk appetite continues to prevail at banks, reflecting tougher capital requirements and a continuing lack of trading opportunities, writes Jay Maroo
Banks fear outcome as Basel Committee wraps up RWA review
Regulators have spent much of the past year trying to work out why risk-weighted asset numbers are so varied. With the results due soon, bank participants say the study should paint a kinder picture than other recent analyses, but they fear the policy...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
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