Market risk
What does VAR mean in 2010?
Value-at-risk figures fell across the industry in 2009, while exceptions dropped significantly from levels in 2007 and 2008. But discussion over what VAR figures actually show and how the numbers are interpreted by senior management continues. By…
Credit risk: The early warning signs
While more bullish analysts may be forecasting a return to growth for global economies, the threat of corporate bankruptcies remains elevated. Julia-Victoria Dück, Oliver Rambock and Christopher Hansert suggest a method for spotting the early warning…
Active risk control
Richard Bibb explores the pitfalls of value-at-risk statistics and explains how they can be interpreted and incorporated into a meaningful risk management strategy
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.