Tail risk
Quants weigh up VAR's flawed alternatives
VAR at risk
Bank models are built on foundations of sand
Foundations of sand
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Asian institutional investors take aggressive stance on volatility
Taking on the tail
Investors at risk of being misled as alpha strategies gain in popularity
What's it all about, alpha?
Eurozone deal brings relief in forex spot and options
Risk sentiment appeared to make a comeback in forex markets yesterday, as options volatility fell from record highs and the euro rallied in response to the deal announced after the Euro Summit in Brussels
Economic depression is world's top risk, says Towers Watson ranking
The global financial environment continues to show imbalances, and is not in a good position to withstand shocks, says Tim Hodgson
Market volatility spurs interest in tail-risk management strategies
The sting in the tail
Can risk managers take action against sovereign meltdown?
A risk too far?
The hedge fund that takes disaster in its stride
Tracking tail risk
Study says funds of hedge funds see limited diversification benefits
FoHFs see limited diversification benefits
The art of harnessing volatility
Harnessing volatility
Investors seek tail risk funds to cover 'black swan' events
Swimming with the black swans
The Universa approach to hedging tail risk
Profiting from disaster
Regulators double down
Regulators double down
Cross-asset correlations pose opportunities - and threats
Opportunities and threats
BAML tinkers with tradable volatility index for tail risk hedging
Bank of America Merrill Lynch has developed a liquid volatility index for institutions which are seeking a systematic tail risk hedge.
CBOE developing tail event index
A new index based on skew will be unveiled once testing is completed
BP crisis pushes Big Oil further into deep water
As thousands of barrels of oil continue to spill into the Gulf of Mexico, energy giant BP has seen its bond spreads widen to unprecedented levels. What will be the implications for Big Oil, and can investors factor in tail risks of this magnitude?
BP oil spill “frightening reminder” of tail risk, say analysts
As oil continues to spill into the Gulf of Mexico, analysts have warned there is little investors can do to hedge against the risk of disasters on the scale of the Deepwater Horizon incident.
What does VAR mean in 2010?
Value-at-risk figures fell across the industry in 2009, while exceptions dropped significantly from levels in 2007 and 2008. But discussion over what VAR figures actually show and how the numbers are interpreted by senior management continues. By…
A sting in the tail
After recent financial turmoil, market participants are thinking much more rigorously about ways to protect themselves against the possibility of rare but extreme events. However, effectively hedging tail risk is not straightforward. By Mark Pengelly
A rotationally invariant technique for rare event simulation
Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-risk of a credit-risky portfolio requires many simulations. Here, Susanne Klöppel, Ranja Reda and Walter Schachermayer demonstrate a geometrically…