To make the Volcker rule work, regulators will need to be able to spot proprietary trading. But although a range of indicators has been suggested, finding a way to catch prop trading without also catching...
A number of politically-inspired compromises have led the Solvency II directive away from its market-consistent routes – so much so that according to Barrie & Hibbert’s Craig Turnbull and John Hibbert,...
Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measures. Here, Mikhail Voropaev builds an analytical framework for calculating value-at-risk and...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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Stress tests are playing a bigger role in the operation of financial institutions, both from a risk management and a regulatory perspective. But Monte Carlo can behave badly when fed extreme parameters and give misleading results. Here, Christian Fries...
Banks have seen value-at-risk figures fall over 2010, but risk measure may be on the way out
Insurers increasingly use stochastic simulation approaches for estimating risk capital, but numerical errors are rarely measured. A control variate method can improve the accuracy dramatically without increasing the number of simulations.
Market exposures to FTSE 100 defined benefit schemes could result in a £100bn spike over one year in their total deficit, reports PensionsFirst
As the implementation of Solvency II looms, the calibration of the standard formula remains a controversial issue as the industry runs the fifth quantitative impact study. But the current design overshoots the one in 200 year confidence level.
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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