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Modifying market risk management – A year into the Covid‑19 pandemic

The panel

  • Dennis Sadak, Senior Vice-President, Risk Product Management, Numerix
  • Bevan Cowie, Managing Director and Head of Market, Liquidity, Valuation and Model Risk Management, Deutsche Bank
  • Rama Chirayathumadom, Chief Model Risk Officer, Goldman Sachs Bank USA
  • Moderated by: Tom Osborn, Editor, Risk Management, Risk.net

2020 saw market volatility levels and daily value-at-risk (VAR) measures for global investment banks surge to their highest since the financial crisis that began in 2007–08 – a reflection of the extraordinary market conditions that took hold in the wake of the Covid-19 crisis. As a result, the world’s largest investment banks booked record-breaking trading revenues. But rewards such as these don’t come without increased risks – and there are lessons to be learned.

During the crisis, central banks offered extraordinary relief to mitigate the impact on capital markets and, as a result, asset correlations changed. This webinar explores how capital markets participants revised their market risk management practices during the height of market volatility, and what this means for the future.

Key topics discussed:

  • An examination of the market environment during 2020
  • How correlations in asset movement changed amid the crisis
  • Reassessing historical data used and the parameter of VAR models
  • The role of technology in trading and risk analytics
  • New approaches to stress-testing
  • How banks have and will adapt market risk management practices going forward.

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