In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
Equity momentum and value strategies are cancelling each other out, buy-siders say
Regulator proposal could lead to less reliable market risk data, critics warn
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
FRTB won’t obliterate your whole markets business any more, just some very specific parts
Some European banks plan to lobby ECB for relief when rules are transposed to local law
Machine learning is coming to analytics but there are hurdles to overcome first, says Aiman El‑Ramly, chief operations officer at ZE PowerGroup
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
As the efficiency of operational risk management remains a top priority and pressure to maximise value increases, emerging technology could prove crucial. Nitish Idnani, leader of oprisk management services at Deloitte, explores how the oprisk management…
Vanilla exposures explain as much as two-thirds of returns, authors say
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
In this paper, the authors develop a new local correlation model that uses a generic function 'g' to describe the correlation between all asset–asset pairs for a basket of underlyings.