After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
This paper studies alternative mixing models for external data for a particular risk class.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
More Value-at-risk (VAR) articles
This paper puts forward two strategies for improving Historical Simulation in weak areas.
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS count...
Policy expert says most trading risks already captured under Pillar 2 framework
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of valu...
Dealers, regulators and distributors split on way forward for key information document risk indicators
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
The author of this paper performs an analysis on a review of the equity stress parameter for Dutch pension funds.
The authors of this paper study the approximation of extreme quantiles of random sums of heavy-tailed random variables. More specifically, sub-exponential random variables.
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.