Tail risk
New backtests for unconditional coverage of expected shortfall
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
Chinese banks pose increased risk to euro area – ECB
Growing number of Chinese lenders designated as systemically important
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Rogue traders versus value-at-risk and expected shortfall
VAR and ES are ineffective to deter rogue trading
Maybank takes to the dark web to tackle hackers
Bank’s CRO and CTO discuss front-foot approach to cyber threats
Investors warm to quant tools to gauge political risk
Many funds have lost confidence in traditional ways of measuring political risk
Custom models work better for op risks, research finds
Bayesian approach touted for mis-selling and other management failures
Risk managers take note: Brexit was not a black swan
Protecting yourself against true black swans is the art of the possible, not the probable
Paper of the year: PJ de Jongh, Tertius de Wet, Kevin Panman and Helgard Raubenheimer
South African academics pioneer a quick and easy way of estimating op risk capital
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Brexit or Bremain: looking for clues in bubble analysis
Crisis analysis model suggests rates and credit markets see danger
The application of Hermite polynomials to risk allocation
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
Comparing alternative mixing models for external operational risk data
Mixing, not scaling, best approach for using external losses
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Fragile markets prompt banks to rethink tail risk
BNP Paribas and BTMU tout ‘scalable’ stress testing
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette
Traders and politicians can learn from dead pilots
Trading portfolios are easily mishandled, as are Europe's economies
Asia volatility indexes mirror pre-crisis market conditions
Low leverage this time should result in milder correction than 2008/9
Tail-risk hedging – Improving the return on capital
Sponsored feature: Pimco
Largest hedge funds vulnerable to 2008 repeat
Biggest 30 would lose 4.6% in one month
Volatility products within family office portfolio: keep it simple or minimise risk in other ways?
A well-diversified portfolio could be better for controlling risk than volatility investments, according to members of the family office industry.
Institutional inertia on tail risk measurement
Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe
Applied risk management series: Integrating stress tests with risk management
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…