Value-at-risk (var)
Review of 2012: Basel III starts to bite
Capital and liquidity consumption now comes with a cost, and that started to make itself felt this year. Risk staff look back at a selection of the year’s big stories
Trading and risk systems have been updated over the past year to reflect the growing need for regulatory solutions, as well as the new pricing complexity associated with collateral-based discounting. By...
The Basel Committee on Banking Supervision has proposed using expected shortfall instead of value-at-risk as the central metric for regulatory market risk capital. David Rowe argues this will be both ineffective...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Value-at-risk (var) articles
Banks retreat from commodity derivatives
Increasing capital requirements and other regulatory constraints are cutting the headcount and risk-taking ability of banks in commodity and energy derivatives. Might this diminished role pave the way for less regulated participants to take their place?...
Banks cut commodity VAR as regulatory reform bites
Basel capital rules and regulatory reform stymie risk appetite of major banks in commodities
Range of practice in operational risk measurement
The lack of a commonly accepted benchmark model is a handicap for the operational risk industry. Marcelo Cruz discusses the areas where industry practice still diverges, and ways to bring it together
Final Esma clearing rules too rigid, CCPs say
Regulator has not given clearing houses enough freedom to calculate margin requirements, critics say - and Europe's CCPs may have to charge more for futures than their US rivals
Forex options traders count the cost of stressed VAR
Stressed value-at-risk has been less controversial than the other capital charges introduced in response to the financial crisis – but some dealers say the new metric is decreasing appetite for risk in foreign exchange options markets and might drive...
Stressed VAR will hit forex options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Risk 25: Banks prepare for a low-RWA future
Reining-in capital consumption – and then keeping it low – will be the top priority for many banks over the next five years. But it’s not clear how much fat there is to cut, and whether regulators will smile on more innovative schemes
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
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