This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
EBA options for lighter capital treatment of parametric curves could prove impractical
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
A rigorous backtest for ES cannot exist, but a good approximation might do the job
Banque Pictet quant explains a new backtesting method for expected shortfall
Acerbi and Szekely present a backtest for expected shortfall
In this paper, the authors use influence functions as a basic tool to study unconditional nonparametric and parametric expected shortfall (ES) estimators with regard to returns data influence, standard errors and coherence.
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
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…
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
Quants propose replacement to existing credit risk measure
Quants propose tail risk-sensitive measure for counterparty credit risk
The potential future loss is proposed as a replacement for PFE
VAR cap can be even more constraining than a short-selling ban, researchers find
This paper aims to reflect the current state of the discussion on the validation of market risk forecasts by means of backtesting.
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Measure aims to provide better gauge of VAR violations
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.