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
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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 paper proposes a technique based on the saddlepoint approximation to quickly and accurately estimate common portfolio risk measures and their associated marginal component contributions.
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Buffett's warning on perils of volatility is well justified, argues Kaminski
ABSTRACT Expanding the realized variance concept through realized skewness and kurtosis is a straightforward process. We calculate one-day forecasts for these moments with a simple exponentially weighted...
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Hedging threatened by treatment of liquidity and diversification, critics claim
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.