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
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