Market risk
Telling the whole story?
Indices
Building scenarios
Kenji Fujii of UFJ Holdings looks at the benefits of using scenario analysis as a means of managing operational risk, and discusses UFJ Bank's scenario-based advanced measurement approach.
Beat the system
Rankings 2004
Building scenarios
Operational risk
Sensible and efficient capital allocation for credit portfolios
Michael Kalkbrener, Hans Lotter and Ludger Overbeck construct a new approach to economiccapital allocation, showing that three axioms uniquely determine a capital allocation scheme,and, more importantly, that any allocation satisfying the axioms is…
Risk manager of the year - Richard Evans, Deutsche Bank
The head of group market risk's stress-testing approach has helped transform Deutsche Bank.
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…
Reporting: a better performance measure
Past performance is no guarantee of future returns. RiskMetrics' John Matwey says more and more investors will therefore inevitably demand third-party reporting of risk positions taken by hedge funds.
Sponsor's article > Credit risk catches up
When Basel II was first proposed in 1999, credit risk models lagged way behind market risk models. But that's changed, which means we need less prescriptive rules for determining credit risk capital.
a changing landscape
Derivatives debate
Reporting: a better performance measure
Data monitoring
Credit risk catches up
Feature
The ultimate stress-test: modelling the next liquidity crisis
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-tests, and regulators want other banks to do the same.
Countdown to Basel II
With Basel II set for implementation in three years' time, some banks in the Asia Pacific region are working hard to align their operational risk systems with the requirements outlined in the new Accord.
Australia’s banks to blaze op risk development trail in Asia
IMPLEMENTATION OUTLOOK
Operational and market risks of a regulated power utility
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
A closer look at risk
Buy-side systems
Countdown to Basel II
Operational risk
Risk transparency without position transparency
When high-profile blow-ups hit the headlines, calls for greater transparency come to the fore. By Peter Davies, vice-chairman, RiskMetrics Group
The dilemmas of risk disclosure
Barry Schachter discovers that the path towards a workable structure for hedge fund quantitative risk disclosure is very narrow. Bad news for the post-LTCM lobbyists
Measuring operational risk: a reality check
In the second of two articles on operational risk, Mark Holmes looks at the measurement issues involved, taking a constructively critical look at the ideas currently in vogue.