Expected shortfall
The FRTB data management challenge
Sponsored forum: Asset Control
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Final FRTB is a game of give-and-take, say dealers
Relaxation in some areas of Basel market risk rules offset by harsher treatment in others
Extreme value theory has hidden risks, research finds
Method for calculating capital based on sparse data can lead to additional model risk
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models
Expected shortfall is jointly elicitable with value-at-risk: implications for backtesting
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Expected shortfall’s silver lining
Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa)…
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
This paper proposes a technique based on the saddlepoint approximation to quickly and accurately estimate common portfolio risk measures and their associated marginal component contributions.
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Expected shortfall: end of the back-test quest?
Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
VAR replacement may be too volatile, banks warn
Criticism of expected shortfall has been muted, but concerns are growing