Trading book capital measures were at heart of efforts to free up traders and reduce capital
A difference in margin approach between swaps and futures may mean the latter are not assessed on their level of riskiness
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.
More Value-at-risk (var) articles
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Regulators have spent much of the past year trying to work out why risk-weighted asset numbers are so varied. With the results due soon, bank participants say the study should paint a kinder picture than other recent analyses, but they fear the policy...
By recent standards, market risk was in remission for most of 2012 – the Vix index of implied volatility on S&P 500 options had its most subdued year since the start of the crisis, and bank value-at-risk levels were also down dramatically. For risk...
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
The conference season is, for me at least, well-defined as the three months covering September to November, and I have attended, and in some cases presented at, five conferences during this period this year. (I believe some might call me "a conference...
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
Australia, 5th - 7th Mar 2014
South Africa, 12th - 14th Mar 2014
UK, 12th Mar 2014
UK, 13th - 14th Mar 2014
UK, 13th Mar 2014