Value-at-risk (var)
Quant Congress Europe: Test models as you build them, says BAML expert
With the 'London Whale' modelling failures still casting a shadow over the industry, BAML model risk head advocates ongoing testing
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
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.
More Value-at-risk (var) articles
Risk management central to hedge fund capital raising, says survey
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
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
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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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.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- Finding the Right Path to Hedge Accounting
- Don’t get left behind – how financial services need to consider their IT infrastructure
- Rebuilding Customer Trust in Retail Banking
- How customer-centric transformation can lead to an increase in revenue and streamline operations
- Anti-Money Laundering when transaction monitoring is not sufficient
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