Market risk
Dealers' VAR increases during 2001, says BofE report
Average value-at-risk (VAR) levels among leading dealers has increased over 2001, but despite increased vol across equity and rates markets post-September 11, large trading losses appear to have been avoided, according to the Bank of England’s Financial…
NY Fed notes high variations in stress testing across institutions
The magnitude of shocks used in stress testing by financial institutions varies substantially, the Federal Reserve Bank of New York (NY Fed) has said in a paper.
SAP makes play for risk territory
German software giant SAP is making a firm move into the risk management industry with the further development of its range of industry solutions. The Waldorf-based firm has already developed credit and market risk components for the financial services…
Identifying investor preferences
Giovanni Beliossi talks to Cate Rocchi about assessing risk for increased and sustained returns
Pro-cyclicality in the new Basel Accord
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…
Banking on progress
Technology
A new lease of life
Hedge fund service providers looking to stay ahead in the marketplace are turning to corporate websites to communicate with their customers
What can loss databases do for you?
Many banks need to understand fully the role that external op risk loss databases can play.
Basel's new credit model
The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.
Stress tests and risk capital
For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…
A coherent framework for stress testing
In recent months and years, practitioners and regulators have embraced the idea of supplementing value-at-risk estimates with "stress testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress…
S&P, Algo To Offer RiskDirect Via Web
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Times Bank Of India Implements STP Via Panorama/Devon Combo
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