US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
A flawed understanding of risk has made markets fragile, says Convex Strategies CIO David Dredge
Isda AGM: Veteran trader warns of “ugly tail risks” if market plumbing is not upgraded
A portfolio optimisation technique for pension funds and insurance portfolios is presented
Gap between 95% and 99% confidence levels widens to 10-year record
The authors consider operational risk models and derive limit behaviors for the value-at-risk and conditional tail expectation of aggregate operational risks in such models.
Largest fair-value hits from HFT assets moved further from median in H1
The authors identify a regime-switching Fréchet model which can be used to identify the behavior of extreme values in financial series.
Using new measure of systemic fragility, the author ranks euro area banks and sovereigns and according to their systemic risk contribution.
In times of volatility, simpler risk parity strategies may outperform more elaborate counterparts
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
Nikolay Radev, senior quantitative researcher at FactSet, discusses the limitations of previous environmental, social and governance (ESG) measurement, and proposes a new approach to optimising ESG exposure in minimum tail-risk (MTR) portfolio…
QTS has built a machine to show whether a strategy is likely to succeed or flop
Research suggests strategy is no longer a reliable hedge against stock market crashes
Whether inflation rises or falls, crowdsourced scenarios forecast huge range of outcomes
Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
Average one-day trading VAR falls to lowest point since Q1 2020
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
Former LCH risk chief says sharing loss data would help CCPs avoid risk of holding too little capital, or too much