Conditional value-at-risk
The properties of expectiles explored
Expectiles’ risk contributions are essentially the same as those of expected shortfall
Banks tout break clauses as capital mitigant
Breaking with tradition
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
Isda AGM: industry getting to grips with nuts and bolts of reform
No-one’s talking about existential threats to the derivatives market any more – but the more practical questions that have now taken centre stage may prove harder to resolve