Tail risk
Banks step up stress-testing of Hong Kong dollar peg risk
Flurry of forex options trades makes banks re-evaluate exposures
Validation of index and benchmark assignment: adequacy of capturing tail risk
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).
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
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.
Tail-risk mitigation with managed volatility strategies
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…
Keep it real: tail probabilities of compound distributions
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
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