Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In...
In some corners of the over-the-counter energy market, liquidity has become increasingly thin during the past few years. As a result, firms need to think more creatively about how they handle liquidity,...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Value-at-risk (var) articles
European insurers are refining their internal economic capital models as regulators’ efforts to define statutory solvency requirements grind to a standstill. Louie Woodall reports
Five years on from the collapse of Lehman Brothers, the chaos that followed is now being erased from some value-at-risk models – and clearing houses do not agree on how to prop up their margin requirements. By Tom Osborn
In this paper we propose an expected shortfall (ES) backtesting approach that uses the dispersion of a truncated distribution by the estimated value-at-risk (VaR) upper limit, does not limit the approach to the Gaussian case and allows us to test if each...
The coherent risk measure expected shortfall is a popular alternative to value-at-risk. However, the estimated value may miscommunicate the actual risk, especially when huge losses are present in the return series. This may force the financial institution...
This paper focuses on portfolio risk forecasting in an asymmetric framework. Risk is defined by two factors: the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series' interdependence is estimated...
The role played by rating agencies in the crisis is well documented, but the new regulatory framework gives similar powers and privileges to clearing houses – and leaves them exposed to the same weaknesses and temptations, argue Chris Kenyon and Andrew...
Unlike returns and most other metrics in use in financial services, portfolio risk is not the sum of the risks of its parts. What is needed is a clear and compact system to show how risk behaves
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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