Change in stress period drives 15% increase in market risk capital requirement
G-Sibs cut $31 billion of market RWAs in three months to June
French bank's IHC reports four backtesting exceptions
Sovereign bond yield spike hits public finance portfolio
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
Average management VAR falls Sfr10 billion
Average daily value-at-risk falls 12% from three-year peak in Q1
Trading VAR falls to $30 million from $40 million in Q1
This paper analyzes the impact of different estimation window strategies, including structural breaks and forecast combinations, on forecasting common risk measures such as VaR and ES.
In this paper, the authors adopt a new method of predicting VaR, to estimate balanced portfolios’ VaR.
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Average quarter-on-quarter increase of 23% for VAR-based capital across 11 large dealers
Corporate and investment banking RWAs fall 11%; net income falls €103 million
Trading losses exceeded estimates on a single day at each dealer in the first quarter
In this paper, a sensitivity analysis using pair–copula decomposition of multivariate dependency models is performed on estimates of value-at-risk (VaR) and conditional value-at-risk (CVaR).
Dutch bank adds €0.8 billion of market RWAs
In this paper, the author presents a simple probabilistic model for aggregating very large losses into a loss collection.
Increased client activity and market volatility increases firmwide risk
This paper examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.
VAR and ES are ineffective to deter rogue trading
Quants show popular risk measures fail to limit risk-seeking behaviour among traders
Regulators should try to combat rogue trading by measuring traders’ risk-taking differently, say quants