Treasury Corporation of Victoria (TCV), the central financing authority of the State of Victoria in Australia, has implemented a system to improve its market risk management, which it plans to exten...
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More Value-at-risk (var) articles
Michael Kalkbrener, Hans Lotter and Ludger Overbeck construct a new approach to economiccapital allocation, showing that three axioms uniquely determine a capital allocation scheme,and, more importa...
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk
The evaluation of credit portfolio risk models is an important issue for both banks and regulators. It is impeded by the scarcity of credit events, long forecasthorizons, and data limitations. To ma...
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.