Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
The authors propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses.
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
US G-Sibs see market RWAs fall 4.1% quarter on quarter
US unit of TD Group endures four breaches in three months to end-September
Risk and portfolio managers at La Francaise and LFIS are squeezing more information out of stress tests
Tough trading quarter could also have pushed VAR-based charges higher
French bank also reported a VAR breach in Q3
As uncertainty abounds on the impact climate change may have on the industry, financial services firms must best equip themselves for potential regulatory and socioeconomic changes to ensure they maximise the opportunities of embracing new best practices…
By revisiting certain calculations, new insights into risk and profit drivers can be gained, says data scientist
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.
In this paper, the authors introduce a new ES backtesting framework based on the duality between coherent risk measures and scale-invariant performance measures.
Turbulence in rates behind higher market risk charges
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
Market RWAs dropped on the quarter, even though risk levels increased
This paper investigates the effects of window-size selection on various models for value-at-risk (VaR) forecasting using high-performance computing.
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Banks warn of overly complex revaluation process and heightened risk of backtest fails
Alvin Stroyny and Tim Wilding build a dynamic risk framework for multi-asset global portfolios
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
A rigorous backtest for ES cannot exist, but a good approximation might do the job
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Banque Pictet quant explains a new backtesting method for expected shortfall