Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
A new paper by a group of quants advocates a revised backtest for expected shortfall (ES) models – one that could offer banks with large trading operations a more accurate view of aggregate risk across desks, and, they hope, could be of interest for regulators when gauging aggregate risk across the financial system.
While value-at-risk has been banks’ standard gauge for market risk for many years
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Fitch Solutions Toolkit for Credit Risk Leaders: enhancing credit risk management, mitigation and strategic decision-making
The Fitch Solutions Toolkit for Credit Risk Leaders is a practical guide to enhancing visibility, agility and control across the credit risk workflow
Dealers favour central XVA desks, but splits remain on funding
Most banks run a single desk within the front office, but more than half share responsibility for its funding needs with treasury
Breaking silos: agile insurance in an uncertain world
Insurers are realigning strategy and operations in the face of growing uncertainty and more complex risk
XVA desks may be standard – their tech and mandates aren’t
A decade into centralised management of XVAs, Risk Benchmarking data finds divergent approaches to pricing, methodologies and tech stacks
Banks grapple with Fed’s double deadline on stress-test plans
Supervisor consulting simultaneously on next year’s test scenario and broader model changes
How conflict sharpened Israel’s role in cyber security
Recent growth in offshoring of infosec comes despite regulatory focus on supply-chain resilience
Post-trade processing: the next horizon
The changing shape of post-trade and how market demand is shaping innovation on OSTTRA MarkitWire and beyond
Global banks ‘hassled’ by China’s mystery data rules
Some firms left in the dark as new guidance on exporting data overseas is distributed bilaterally
