Market risk
Standard formula ‘an inadequate risk measure’ for high-risk bonds
Eiopa urged to adjust bond SCR as study by Edhec Business School suggests Solvency II could discourage insurers from long-term bond investment
A model future (part II)
A model future (part II)
The growing complexity of energy market risk
Ever more complex
Assessing LNG market risk
All at sea
OpRisk Europe: Capitalise on op risk interest, conference told
A current focus on operational risk by senior management should be grasped by op risk teams to make key improvements
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
Dangerous embrace: disentangling bank and state
Dangerous embrace
Cutting Edge introduction: Hedging dependence
Hedging dependence
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
Tullett Prebon and Allianz to launch Solvency II data service
Benchmark OTC curves 'will help insurers calculate risk data for market risk models'
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk
An Arch economist
Stress test struggle: separating liquidity and market risks
Stress test struggle
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Beware of data leverage
Beware of data leverage
Sponsored feature: BNY Mellon
Putting cash to work – Now and post Solvency II
Stronger defences needed: stress testing a eurozone break-up
For a few dollars more
Not all hedges are created equal
Not all hedges are created equal
Quants weigh up VAR's flawed alternatives
VAR at risk
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
No nosedive: markets could defy doom-mongers
Challenging the doom-mongers
Bank models are built on foundations of sand
Foundations of sand
Cutting Edge introduction: risky contributions
Risky contributions