Value-at-risk (VAR)
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
Asia Risk 15: Kenji Fujii, Mizuho Securities
Japanese financial institutions have faced severe tests during the past 15 years including rogue trading scandals, huge non-performing loans and a need to adopt aggressive regulatory rules. Kenji Fujii maps out these challenges and indicates how they…
How to make VAR go voom
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
Q&A: Blue Star Energy Solutions’ John Wengler on risk
BlueStar Energy Solutions’ chief risk officer, John Wengler, speaks to Pauline McCallion about managing energy risk in the US power markets
Q&A: Endesa’s Jaime Roman on mergers
Jaime Roman, head of risk management at Spanish utility Endesa, talks to Katie Holliday about the attitudes to risk management in Europe from the perspective of a major European utility operating in the growing Iberian markets
Q&A: Mitsubishi UFJ Securities Holdings’s Akihiro Kawabe on transparency
Risk management in Asia is arguably more difficult to estimate as each country has very different regulatory requirements and political risk. Lianna Brinded speaks to Akihiro Kawabe, executive officer and general manager of the corporate risk management…
Quant Congress USA: Economist praises dynamic provisioning
Barclays Capital senior economist praises dynamic provisioning approach to loan losses
Sponsored Q&A: Valuation and transparency – Facing the challenges of risk and transparency
Why organisations need better risk management and transparency to adapt to the changing marketplace
Exclusive Kaminski Video: energy risk management challenges
The energy markets still face an unprecedented level of regulatory risk over the next year, as impending changes to the US financial system loom, while at the same time, BP’s Gulf of Mexico oil spill has presented major operational risk factors for the…
When market and credit risk collide
The financial crisis highlighted that interactions between market risk and credit risk could expose banks to greater risks than had been assumed. Banks are responding by altering their structure and the models they use – but it is by no means an easy…