Risk management units alone cannot avoid the damage from periodic bouts of irrational exuberance. That responsibility lies with the chief executive, argues David Rowe
Risk Awards 2008
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
Value-at-risk (VaR) is increasingly replacing volatility as the main measure of risk. In this paper, we investigate the consequences when VaR is used as the relevant risk constraint in portfolio optimization....
In this article, Attilio Meucci draws on regression analysis to decompose volatility, value-at-risk and expected shortfall into arbitrary combinations or aggregations of risk factors, and presents a...
The paper develops a value-at-risk (VAR) methodology to assess Italian banks’ interest rate risk exposure. By using five years of daily data, the exposure is evaluated through a principal component VAR...
We develop an efficient Monte Carlo simulation-based methodology for value-at-risk (VAR) and sensitivity analysis of mortgage-backed securities (MBS) that employs an importance sampling technique developed...
In the next article of his VAR series, Brett Humphreys discusses more advanced methods for estimating volatility.
Brett Humphreys discusses the assumptions underlying the calculation of a VAR using the historical simulation methodology.
Brett Humphreys and Eric Raleigh review assumptions about the forward curve and the difference between relative and absolute dates.
In the second article of his series, Brett Humphreys examines the assumptions associated with selecting a confidence level and a holding period for a VaR calculation
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.