Market risk
What has op risk to do with ‘credit’ ratings?
How should credit rating agencies include op risk in their assessment of firms’ creditworthiness? By Choongo Moonga
Risk manager of the year - Richard Evans, Deutsche Bank
The head of group market risk's stress-testing approach has helped transform Deutsche Bank.
Calculating transfer risk using Monte Carlo
Marco van der Burgt constructs a model of emerging market transfer risk based on a country’s foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then…
VAR: history or simulation?
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation…
Margin notes
Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure
US pipelines follow the market
Todd Shipman of credit rating firm Standard & Poor’s finds that pipeline companies in the US will face more market risk than regulatory risk in the coming year
A perfect rating
Profile
Garman Unveils 'VAR Delta' Methodology
FRONT PAGE
Basle Agrees To In-House Risk Modelling
METHODS & REGULATIONS