More Value-at-risk (VAR) articles
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.
Risk Awards 2008
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.