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.
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
New approach calculates contributions to value-at-risk for nonlinear portfolios
This paper analyses the components of central counterparty (CCP) capital requirements and makes several observations on the potential for loss absorption.
FSB and Basel Committee back climate VAR, but practitioners will take some convincing
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.
This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Conservative capital buffers may not be enough to protect against tail events
Few lenders favour Monte Carlo or parametric methodologies
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
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