Risk measures
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
Are there multiple independent risk anomalies in the cross section of stock returns?
Using multivariate portfolio sorts, firm-level cross-sectional regressions and spanning tests, this paper shows that, in the cross section of stock returns, most commonly used risk measures in academia and in practice are separate return predictors with…
Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?
This paper empirically reviews the relationship between the geographical complexity of parent-groups and the risk-taking behavior of subsidiaries using a panel of data for Polish domestically owned and foreign-owned banks covering the years 2008–17.
Managing physical and financial risk in today’s volatile commodities markets
This webinar examines what firms are doing to modernise their IT systems to get better control on their risk measures and key performance indicators across their physical and financial businesses.
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
An examination of the tail contribution to distortion risk measures
This paper reports a method for analyzing the influence of the tail in calculations of distortion risk measures.
Nonconvex noncash risk measures
This paper looks at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets.
Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
This paper proposes three modifications to two well-established measures of systemic risk, SRISK and CoVaR.
A numerical approach to the risk capital allocation problem
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
Risk measures: a generalization from the univariate to the matrix-variate
This paper develops a method for estimating value-at-risk and conditional value-at-risk when the underlying risk factors follow a beta distribution in a univariate and a matrix-variate setting.
Optimal reinsurance with expectile under the Vajda condition
In this paper, the author revisits optimal reinsurance problems by minimizing the adjusted value of the liability of an insurer, which encompasses a risk margin. The risk margin is determined by expectile.
Cyber risk management: an actuarial point of view
This paper points out the peculiarities of cyber insurance contracts compared with the classical nonlife insurance contracts from both the insurer’s and the insured’s perspectives. The main actuarial principles that are fundamental to any valuation in a…
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Backtesting expected shortfall: a simple recipe?
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
Static and dynamic risk capital allocations with the Euler rule
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Forecasting value-at-risk
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
Quantification of operational risk: statistical insights on coherent risk measures
In this paper, the authors review some of the existing methods used to quantify operational risks in the banking and insurance industries.
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.