S&P calls for more risk disclosure

Expected shortfall – also called mean excess loss or tail-conditional expectation – looks at situations outside the purview of the most commonly used market risk statistical tool, value-at-risk. VAR measures the probabilistic bound of market losses over a given period of time expressed in terms of a specific degree of certainty, but does not deal with worst-case events at the so-called 'tails of probability distributions'. Expected shortfall calculates this mean loss of the percentage of worst

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The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

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