Expected shortfall (ES)
Asymmetric risk spillovers between oil and the Chinese stock market: a Beta-skew-t-EGARCH-EVT-copula approach
The author uses the marginal expected shortfall method alongside the Beta-skew-t-exponential generalized autoregressive conditional heteroscedasticity-extreme value theory model and the CoVaR model to investigate risk spillover between the crude oil…
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
The authors introduce and apply new semiparametric GARCH models with long memory to obtain rolling one-step ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk assets.
Modeling very large losses. II
This paper presents a means to estimate very large losses by supposing the event is the result of a succession of factors and estimating the probability of each factor.
Counterparty risk allocation
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
Regulators should be careful what they wish for on FRTB
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Expected shortfall model based on a neural network
This paper presents a model that combines ES models based on EVT and neural networks and meets all criteria for the validity of the Basel III standard.
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Central counterparty capital and nondefault losses
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.
Does regulators’ favourite climate risk metric measure up?
FSB and Basel Committee back climate VAR, but practitioners will take some convincing
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
This paper applies the dynamic mixture copula model method and proposes a mobility measure of the marginal expected shortfall to depict the changing systemic risk in China’s mainland stock market and Hong Kong’s stock market.
A simple and robust approach for expected shortfall estimation
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
The Fundamental Review of the Trading Book and fat tails
Conservative capital buffers may not be enough to protect against tail events
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
A sensitivity analysis of the alpha factor
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…
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Extremal risk management: ES value verification
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…
Quants bring ‘triptych’ of variables to risk measurement
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.
Backtesting expected shortfall: a simple recipe?
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.