Value-at-risk (VAR)
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
VAR replacement may be too volatile, banks warn
Criticism of expected shortfall has been muted, but concerns are growing
Volatility and correlation: the missing link
Research decouples risk components
Estimation of risk measures for large credit portfolios
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
Trends in risk management
Sponsored survey analysis: SunGard
Expectiles behave as expected
Expectiles' results are analogous to those of value-at-risk and expected shortfall
Replacing VAR: smaller banks fear expected shortfall workload
Some banks worry they may not have enough data to implement expected shortfall safely
'Dangerous spike' in value minus growth
Volatility clustering and trend reversals not seen since 2006
Applied risk management series: Active VAR management
How to actively manage the value-at-risk of energy derivatives
Margin calling: Is your VAR methodology ready for initial margin on uncleared derivatives?
Content provided by IBM
Resist the rise of the risk management machines
Overreliance on modern risk management systems, and metrics such as value-at-risk, can blind firms to tectonic structural market shifts. To help alleviate this problem, the use of human judgement and intervention is required, argues Vincent Kaminski
Basel Committee drops fixed correlations in new trading book proposals
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Applied risk management series: Integrating stress tests with risk management
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on…