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.
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
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.
Quants propose an allocation method for internal model capital charges
CME’s looming switch to VAR model will have pronounced effect on broker and its clients, says Brad Giemza
Waning power of quant approach could be a reason for trend following’s malaise
JP Morgan’s CRM charge has fallen 94% since Q1 2015
TD Bank losses on one day exceeded VAR estimate by 195%
Banks surveyed by the ECB had an average of 32 issues with their market risk models
So-called ‘incremental value-at-risk’ offers future snapshot of op risk exposure, authors say
Interest rate risk in Brazil pushes average VAR higher
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Fixed income markets revenues came in 18% lower year-on-year
Inaccurate risk-of-loss estimates threaten to load extra capital charges on US dealers
Igor Halperin proposes new approach to compute probabilities of heavy-tailed distributions
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
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 reported 45 days in the calendar quarter where it suffered a trading loss
Excessive backtesting exceptions lead to increase in capital multiplier
Revenues decline €1.2 billion at big four banks' trading arms
Requirements connected to equity positions jumped 49% quarter-on-quarter