This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
Protecting yourself against true black swans is the art of the possible, not the probable
Just because we can't measure op risk accurately doesn't mean we should give up, argues Peter Sime
Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining
BNP Paribas and BTMU tout ‘scalable’ stress testing
Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe
Reverse stress testing is set to become standard practice under Solvency II as part of the validation process for internal models, yet for most European insurers such tests are a new concept. Clive Davidson examines what can be learned from the UK, where…
Not all hedges are created equal
VAR at risk
Foundations of sand
Corporate treasurers should make sure their forex counterparties are properly prepared for the possibility of further black swan events in the foreign exchange markets, senior Lloyds banker tells ACT conference delegates in Manchester
A risk too far?
Black swan events affecting energy markets put stress testing to the test
Swimming with the black swans
Profiting from disaster
Op risk should play a dominant role in the development of ERM, says Thomson Reuters’ Philippe Carrel
In the second of a four-part series on the development of risk management, David Rowe considers the phenomenon of high-impact events, or Black Swans
Erupting volcanoes do not often show up in scenario plans for financial services firms but they might do from now on.
Scarce data is a well-recognised problem for the assessment of operational risk. In such circumstances, David Rowe argues, it is necessary to blend professional judgement with the available data. In doing so, however, it is crucial to counter some well…