This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Value-at-risk (var) articles
part 2 - Value-at-Risk (VaR) (recorded 19 February 2009) Criticism of the role of inadequate risk management in helping to cause and worsen the financial crisis has tended to focus on technical issues...
The Basel Committee on Banking Supervision released revised proposals for the charging of capital for incremental risk (IRC) in the trading book on July 22. The new rules, developed in conjunction with...
Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.