Market risk
Operational and market risks of a regulated power utility
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
A closer look at risk
Buy-side systems
Countdown to Basel II
Operational risk
Risk transparency without position transparency
When high-profile blow-ups hit the headlines, calls for greater transparency come to the fore. By Peter Davies, vice-chairman, RiskMetrics Group
The dilemmas of risk disclosure
Barry Schachter discovers that the path towards a workable structure for hedge fund quantitative risk disclosure is very narrow. Bad news for the post-LTCM lobbyists
Measuring operational risk: a reality check
In the second of two articles on operational risk, Mark Holmes looks at the measurement issues involved, taking a constructively critical look at the ideas currently in vogue.
Satisfaction guaranteed?
There is no need to feel blinded by science when buying a product with a guarantee. The answer lies in asking the right questions
Information exploitation
The managers of Griffin Capital Management's Eastern European Value fund developed a program to make the most of their research database, resulting in 140% returns since its 1997 launch
Correlation stress testing for value-at-risk
The correlation matrix is of vital importance for value-at-risk (VAR) modelsin the financial industry. Risk managers are often interested in stressing a subsetof market factors within large-scale risk systems containing hundreds ofmarket variables…
Evaluating credit risk models using loss density forecasts
The evaluation of credit portfolio risk models is an important issue for both banks and regulators. It is impeded by the scarcity of credit events, long forecasthorizons, and data limitations. To make efficient use of available information, the…
The dilemmas of risk disclosure
Disclosure
The strong dollar challenge
Corporate hedging
Isda and BMA propose 35% charge for restructuring risk
The International Swaps and Derivatives Association (Isda) and the Bond Market Association (BMA) submitted a comment letter today to the Basel Committee on Banking Supervision in which they argued that, for the sake of capital calculations, loans hedged…
Commercial risk prohibits managers revealing shorts
regulators must accept lower transparency on short side
Isda and BMA propose 35% charge for restructuring risk
The International Swaps and Derivatives Association (Isda) and the Bond Market Association (BMA) submitted a comment letter today to the Basel Committee on Banking Supervision in which they argued that, for the sake of capital calculations, loans hedged…
Accord preparations: the rest is yet to come
While the debates have raged for months about many aspects of the proposed Basel II Accord, on some points there has been relative silence, in particular with regard to the seeming overreliance on statistical techniques.
A natural pillar
Profile: BMW
More gauges for mortgages
Hedge funds
Technology briefs
Systems
Technology briefs
Systems