In this article, Carlos Blanco and José Ramón Aragonés review the historical simulation methodology used to estimate value-at-risk and expected tail loss, while including adjustments to traditional...
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
As more institutional investors opt for hedge funds, robust risk management is being seen as a central function needed in order to raise capital, according to a survey by Prmia and SunGard APT
The computational requirements of Solvency II are driving the need for more computing power and data storage accessible on a scalable basis. Early adopters are leveraging cloud computing for their Solvency II implementation. Others are taking a more cautious approach, waiting for the industry to address key concerns such as security before they to embrace computing.
More Value-at-risk (var) articles
The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure of risk and its reliable estimation remains elusive. Furthermore, the integrated risk...
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
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.