Value-at-risk (VAR)
The ETN that grew too fast
The ETN that grew too fast
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Enterprise-wide risk management: The power of cashflow-based metrics
Finding the best approach
Bank capital
In depth: bank capital introduction
Credible capital: regulators prepare to tackle RWA divergence
Credible capital
Each: CCPs seek safety in numbers
Each and everyone
A local approach to risk management in Asia – Allen Kuo profile
Local knowledge
How relevant is VAR for energy markets?
How relevant is VAR for energy markets?
Stronger defences needed: stress testing a eurozone break-up
For a few dollars more
Not all hedges are created equal
Not all hedges are created equal
Quants weigh up VAR's flawed alternatives
VAR at risk
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact
RWA probe could cut modelling flexibility, says new Basel chief
A stricter approach to the modelling of bank capital is "high likely", as a result of concerns that risk-weighted asset numbers are too divergent
Bank models are built on foundations of sand
Foundations of sand
Cutting Edge introduction: risky contributions
Risky contributions