Regulators plan to propose single simple method
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
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Sponsored feature: Commerzbank
Sponsored feature: Absa Corporate and Investment Banking
Need for strong boards, risk culture and internal audit emphasised at IIA conference
Regulator will impose Basel III add-on if risks are not captured by LCR
“Most arbitrage trading has simply ceased,” Goldman exec counters
Banks call for audit trails and beefed-up role for risk committees
This paper puts forward two strategies for improving Historical Simulation in weak areas.
KRIs for rogue trading are vital defence against multi-billion-dollar losses from unauthorised trading
This paper assesses the performance of the real-time diagnostic of the bubble regime in Chinese stock markets.
The authors of this paper develop a Bayesian-based credit risk stress-testing methodology.
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.