Market risk
Urgency and uncertainty
The Basel Committee published further clarification on its proposal for a new incremental risk charge in January. What challenges does this pose from a systems perspective, and how are banks and technology vendors responding? By Clive Davidson
Challenging times for VAR
With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some…
The risk of value-at-risk
Value-at-risk at the world's leading banks rose sharply in 2008, as firms struggled to get to grips with elevated volatility levels. Exceptions also soared, reigniting the debate over the accuracy of VAR. By Alexander Campbell
Urgency and uncertainty
The Basel Committee published further clarification on its proposal for a new incremental risk charge in January. What challenges does this pose from a systems perspective, and how are banks and technology vendors responding? By Clive Davidson
Challenging times for VAR
With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some…
A VAR, VAR better thing?
Banks reported a surge in the number of value-at-risk exceptions during the third quarter of last year following extreme turbulence in the financial markets. Are risk models breaking down? What are banks doing to fine-tune risk management practices and…
VAR counts
Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in…
Fed vice-chair outlines views on financial stability and policy
Fed: Credit derivatives have been boon, liquidity events pose risk
Industry offers comment on market risk NPR
Four industry bodies have issued a joint letter commenting on the supervisory agencies’ notice of proposed rulemaking on 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