Market risk

A VAR, VAR better thing?

Banks reported a surge in the number of value-at-risk exceptions during the third quarter of last year following extreme turbulence in the financial markets. Are risk models breaking down? What are banks doing to fine-tune risk management practices and…

VAR counts

Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in…

Calculating transfer risk using Monte Carlo

Marco van der Burgt constructs a model of emerging market transfer risk based on a country’s foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then…

VAR: history or simulation?

Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation…

Margin notes

Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure

US pipelines follow the market

Todd Shipman of credit rating firm Standard & Poor’s finds that pipeline companies in the US will face more market risk than regulatory risk in the coming year