Value-at-risk
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.
Capital allocation under the Fundamental Review of the Trading Book
Quants propose an allocation method for internal model capital charges
RJ O’Brien’s chief risk officer on margin models and clearing
CME’s looming switch to VAR model will have pronounced effect on broker and its clients, says Brad Giemza
Volatility scaling unravels as market patterns shift
Waning power of quant approach could be a reason for trend following’s malaise
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
Quants propose new method of calculating op risk VAR
So-called ‘incremental value-at-risk’ offers future snapshot of op risk exposure, authors say
Santander's pivot to LatAm hikes trading risk
Interest rate risk in Brazil pushes average VAR higher
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Fixed income risk surges 19% at JP Morgan
Fixed income markets revenues came in 18% lower year-on-year
Last orders at the VAR
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
Keep it real: tail probabilities of compound distributions
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
The implications of value-at-risk and short-selling restrictions for portfolio manager performance
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
The utility of Basel III rules on excessive violations of internal risk models
In this paper, the author looks at the efficacy of risk measures on energy markets and across several different stock market indexes, and calculates both the value-at-risk (VaR) and the expected shortfall (ES) on each of these data sets as well as on…
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
VAR surges, revenues tank at French banks hurt by volatility
Revenues decline €1.2 billion at big four banks' trading arms
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter