Quants find way to streamline future value calculations for exotic
Modeling multivariate return distributions via copula functions is a common approach in financial risk management. However, evidence of the impact of choosing a particular copula function on different...
More Value-at-risk (VAR) articles
In this paper, we generalize Vasicek's asymptotic single-risk factor solution to multiple factors organized with a particular hierarchical structure. We use this model to investigate credit portfolio loss....
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Most advanced measurement approaches cannot simultaneously capture the overall dependence between operational risk components and be easy to use and understand. This paper proposes a mutual information-based...
Volume 8, Issue 2 (2014)
Volume 17, Issue 4 (2014)
Some banks worry they may not have enough data to implement expected shortfall safely
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.