Value-at-risk (VAR)
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Stressed in Monte Carlo
Stressed in Monte Carlo
Falling VAR reflects calmer year and warier bankers
Banks have seen value-at-risk figures fall over 2010, but risk measure may be on the way out
Stressed VAR questioned by risk managers
Basel 2.5 capital charge incoherent and challenging to implement, say risk managers
Confidence in controlling risk measures
Insurers increasingly use stochastic simulation approaches for estimating risk capital, but numerical errors are rarely measured. A control variate method can improve the accuracy dramatically without increasing the number of simulations.
Volatility in defined benefit schemes trumps deficit worries
Market exposures to FTSE 100 defined benefit schemes could result in a £100bn spike over one year in their total deficit, reports PensionsFirst
Energy Risk Europe 2010
Energy Risk's 2010 annual Europe conference brought leading chief risk officers, quantitative analysts and regulators to London to discuss key risk management issues
Assessment of longevity risk under Solvency II
As the implementation of Solvency II looms, the calibration of the standard formula remains a controversial issue as the industry runs the fifth quantitative impact study. But the current design overshoots the one in 200 year confidence level.
Back to the drawing board for trading book rules
Throwing the book
Fixing UBS’s risk management problems
Lofts' conversion
Power exchange to launch gas contract
New Nodal Exchange contract to increase options for power traders; anticipates future gas and renewables demand
VAR drops in Q2 despite sovereign risk fears
Most large banks had less exposure to market risk during the second quarter, despite volatile conditions in many asset classes.
Regulation, liquidity and risk management strategies
Counting the costs
Banks struggle with Basel 2.5
Challenging change
BP: lessons learned
BP: lessons learned
Understanding value at risk for insurers
Deborah Cernauskas, Gabriel David and Anthony Tarantino propose an amended approach to value-at-risk that focuses on the drivers of risk and the use of agent-based modelling and simulation to capture the bounded rationality of human decision-making
End-users adopt more complex hedging tools and methods
End-users’ energy and commodities hedging strategies are growing in sophistication as they adopt more complex products and non-traditional tools, says the head of RWE npower’s optimisation desk