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Market risk

In defence of VAR

High profile losses such as those at hedge fund Amaranth last year had people questioning risk management tools, particularly value-at-risk. But Chris Schlegel and Andrew Kosnaski believe VAR would have given adequate signals to traders in the volatile…

From VAR to stress testing

Implementation of enterprise-wide VAR models in the 1990s was an important risk management advance, but it's time to rethink some fundamental aspects of how they were designed, argues David Rowe

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Validating EPE

Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models

Surveying risk management

How is risk management viewed in your company? Are there risks you would like to measure but don’t? Which methodologies are most commonly used? What should the discipline tackle next? Energy Risks’ survey reveals recent trends in risk management.

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