Market risk
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
Top CROs worry about Basel III consistency
A new research report published this month by Risk reveals that CROs at the world’s largest banks are worried about the consistency of Basel III rules
Economic turmoil taxes market risk models
Treading carefully
Use of OECD ratings in US market risk proposals questioned
Country risk classifications "are not sovereign ratings" says OECD. US regulators last month proposed using them as an alternative to external credit ratings
Basel 2.5: US ratings workaround too punitive, banks complain
Basel 2.5: US ratings workaround too punitive, banks complain
Risk software survey 2011
Compliance is key
Gas users lock in low long-term prices
Long-term price risk management deals are becoming more popular with utilities and regulators as a way to lock in low natural gas prices
OCC seeking change to rating ban in Dodd-Frank, reveals Walsh
Banking regulator talking to Congress about altering the Dodd-Frank Act to allow a limited use of credit ratings