Event risk modelling for equities
Modelling event risk is an important challenge faced by many institutions because of new regulations. Annabelle Kehl, Melanie Frick and Carsten Wehn develop an innovative approach, including sector- and industry-specific jumps for equity risk factors, and present the results of an application to an example portfolio
Within the framework of Basel II, financial institutions are supposed to calculate the amount of risk charge for their trading book according to several quantitative requirements (Pillar I). In addition to these rules, several amendments have been issued by the Basel Committee on Banking Supervision (2009a and 2009b). Compared with the current standard Basel II, they make some additional
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
CME-FICC cross-netting terms fuel clashes
Hedge funds worried by CCP powers to suspend arrangement; clearing members say it’s standard practice
For collateral, can TINA become TIA?
US Treasuries’ dominance as collateral in repo and derivatives is no longer set in stone, argues economist
A Hormuz tipping point may be days away
Agent-based model suggests delays and shortages likely to accelerate after four weeks
Op risk data: HK gets tough on takeover in $200m takedown
Also: Bank staff steal state funds in India; Vanguard settles US net zero lawsuit. Data by ORX News
CRO view: Emerging risks in the age of AI
The risk agenda is shifting beyond market and credit volatility towards operational resilience, AI governance and culture
Interest rate crosswinds buffet IRRBB teams
Political intervention and rapid-fire law changes are skewering bank models for forecasting cashflows
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Rethinking post trade for OTC derivatives
LSEG’s TradeAgent platform aims to improve efficiency and resilience in post trade
