Value-at-risk (VAR)
Bank capital models need more consistency: OCC's Pasch
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Bank commodity VAR remains muted in Q4
Bank commodity value-at-risk remains muted in Q4
Banks fear outcome as Basel Committee wraps up RWA review
Mending the RWA machine
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
Review of 2012: Basel III starts to bite
Basel III starts to bite
Risk software survey 2012
Coping with complexity
The false promise of expected shortfall
The false promise of expected shortfall
Banks retreat from commodity derivatives
Wall Street retreats
Banks cut commodity VAR as regulatory reform bites
Basel capital rules and regulatory reform stymie risk appetite of major banks in commodities
Range of practice in operational risk measurement
Rocky path to convergence
Final Esma clearing rules too rigid, CCPs say
Regulator has not given clearing houses enough freedom to calculate margin requirements, critics say - and Europe's CCPs may have to charge more for futures than their US rivals
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Stressed VAR will hit forex options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Writing love letters to models
Love letters to models
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA