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.
VAR and ES are ineffective to deter rogue trading
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
This paper provides a detailed analysis of the relationship between approximate VaR (ES) and exact VaR (ES) by finding a linear regression model in which the response variable is the approximate VaR (ES) and the explanatory variable is the exact VaR (ES)…
This paper compares mVaR and mES estimators with VaR and ES under normal and fat tailed t-distributions.
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
Rules could produce “lots of little country desks”, warns StanChart market risk head
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Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off
Commonly-used VAR estimation method shown to underestimate risk