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
Op risk data: GVA and Nobitex in geopolitical risk strikes
Also: UBS chief a target of third-party data hack, internal bank frauds in Asia. Data by ORX News
Academic warns of systemic risk from AI-powered trading
Strategies generated by LLMs exhibit “very strange, correlated trading behaviour”, says Lopez Lira
Why margin transparency is always somebody else’s problem
As Esma pushes for clearing clients to receive better information, no-one wants to provide it
EU firms want clarity on new active account operational test
Final Esma rules reduce burden, but require firms to prepare for higher onshore clearing volumes
Energy supply chains seen as a growing risk
Supply chain risk is now a major concern, with some firms even viewing it as an existential threat
Jane Street claims may prompt bank scrutiny
Reputational risk policies require dealers to quiz clients that hit the headlines
Can behavioural science curb rogue traders… and compliance costs?
Instead of using surveillance to catch endless bad apples, experts urge banks to clean the barrel
Former regulator urges new approach to AI explainability
Ex-OCC chief Michael Hsu suggests shift from academic analysis to decision-based techniques
