Value-at-risk (VAR)
Credit derivatives house of the year: Deutsche Bank
Risk awards 2012
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Delayed Basel trading book review will be broad, say supervisors
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change
Margin models converge as CCPs battle for dealer support
Dealers say they won’t join clearing houses that are not robust – and have already blackballed one central counterparty. As a result, the initial margin methodologies employed by the big rates clearers have begun to converge. Matt Cameron reports
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Barriers to Basel
Dangerous adaptation: the evolution of risk
Dangerous adaptation: the evolution of risk
Prop trading ban set to crimp market-making and hedging activities
Putting a stop to prop
Can risk managers take action against sovereign meltdown?
A risk too far?
Sponsored educational feature: UBS Delta
When is a hedge not a hedge? ALM under Solvency II
Finding Volcker rule metrics will be tough, dealers warn
Crop of the props
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