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
Many funds have lost confidence in traditional ways of measuring political risk
Bayesian approach touted for mis-selling and other management failures
Protecting yourself against true black swans is the art of the possible, not the probable
South African academics pioneer a quick and easy way of estimating op risk capital
Last-gasp hedges may have eased the pain of Brexit for some banks
Crisis analysis model suggests rates and credit markets see danger
This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
Mixing, not scaling, best approach for using external losses
Tail-risk skewness, rather than volatility, is correlated with risk premiums
BNP Paribas and BTMU tout ‘scalable’ stress testing
Market shocks are earthquakes, not a game of roulette
Trading portfolios are easily mishandled, as are Europe's economies
Low leverage this time should result in milder correction than 2008/9
Sponsored feature: Pimco
Biggest 30 would lose 4.6% in one month
A well-diversified portfolio could be better for controlling risk than volatility investments, according to members of the family office industry.
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
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…