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
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
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
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...
Trading book capital measures were at heart of efforts to free up traders and reduce capital
A difference in margin approach between swaps and futures may mean the latter are not assessed on their level of riskiness
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
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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