In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
In this paper, we refer to the axiomatic theory of risk and investigate the problem of formal verification of the expected shortfall (ES) model based on a sample ES. Recognizing the infeasibility of parametric methods, they explore the bootstrap…
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
In this paper, the authors investigate the applicability of semi-parametric approaches for estimating expected shortfall.
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
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.