Fully flexible views: theory and practice

Attilio Meucci proposes a unified methodology to input non-linear views from any number of users in fully general non-normal markets and perform, among others, stress testing, scenario analysis and ranking allocation. He walks the reader through the…

The misdirected directive?

Germany's financial regulator, BaFin, tried to steal a march on its European rivals by implementing a new directive that should open the door to asset managers investing in new products and using over-the-counter derivatives. But did it get it wrong?

Basel harmony still a long way off, notes IIF

“No-one really appreciated the complexity of the whole [Basel Accord] process,” says Charles Dallara, managing director at the Institute of International Finance (IIF). “It is only in the last nine months that regulators and bankers have woken up to the…

Getting it together

Data consolidation is now a vital foundation to any successful risk management implementation, as Dave Rose and Stuart Cook of The Structure Group report

Correlation stress testing for value-at-risk

The correlation matrix is of vital importance for value-at-risk (VAR) modelsin the financial industry. Risk managers are often interested in stressing a subsetof market factors within large-scale risk systems containing hundreds ofmarket variables…

Stress tests and risk capital

For many financial institutions, "stress tests" are an important input into processes that set risk capital allocations. In the current regulatory environment, two distinct model-based approaches for setting regulatory capital requirements include stress…

A coherent framework for stress testing

In recent months and years, practitioners and regulators have embraced the idea of supplementing value-at-risk estimates with "stress testing". Risk managers are beginning to place an emphasis and expend resources on developing more and better stress…

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