Market risk

Challenging times for VAR

With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some…

BoE stability chief calls for stress war games

Banks could be forced to carry out joint stress tests to model the knock-on effects of a single disturbance on the entire financial system, according to the Bank of England's head of financial market stability, Andrew Haldane.

BIS releases roadmap to better stress testing

The Bank for International Settlements (BIS) has issued a list of improvements to stress-testing practices that it says could help banks and regulators avoid a repeat of the failures exposed during the financial crisis.

Component VAR for a non-normal world

It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a…

Hedge funds harness volatility in turbulent markets

Trading volatility can help hedge funds to diversify their portfolios and generate alpha in a challenging market. Kris Devasabai and Stephen Quigley report on the strategies employed by volatility traders and its emergence as an asset class

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