This paper takes another look at allegations that risk management systems have contributed to increased volatility in financial markets, with the particular example of the summer of 1998. The paper ...
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More Value-at-risk (var) articles
Average value-at-risk (VAR) levels among leading dealers has increased over 2001, but despite increased vol across equity and rates markets post-September 11, large trading losses appear to have bee...
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.