This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
Short volatility players try to box clever after strategy’s Covid rout
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Investors are flocking to alternative diversifiers of equity risk
Risk Awards 2021: credit specialist proved its worth in the Covid crisis
Risk Awards 2021: quant group’s tail-risk hedging strategies ‘saved the books’ of some big clients
Risk Awards 2021: focus on tail risk – and a little ice in the veins – helped Nordea stare down Covid
The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted mean square error, the authors present a completely automated method that…
This paper examines the relationship between portfolio size and the stability of mutual fund risk measures, presenting evidence for economies of scale in risk management.
Buy-side risk survey: top executive talks about learning from Daniel Kahneman and client behaviour
Quant strategies that failed in the coronavirus crash face a reckoning
In this paper, we explore the procyclicality of initial margin requirements based on VaR volatility models.We suggest procyclicality can be reduced using a three-regime model rather than using ad hoc tools.
Flurry of forex options trades makes banks re-evaluate exposures
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).
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
Measuring expected shortfall under semi-parametric expected shortfall approaches: a case study of selected Southern European/Mediterranean countries
In this paper, the authors investigate the applicability of semi-parametric approaches for estimating expected shortfall.
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
Floored short funding legs and long vega worked in latest US selloff, dealers claim
In this paper, the authors present a new backtest for the unconditional coverage property of expected shortfall.
Growing number of Chinese lenders designated as systemically important
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
VAR and ES are ineffective to deter rogue trading
Bank’s CRO and CTO discuss front-foot approach to cyber threats