Market risk
Valuing hard-to-value assets
In this Class Notes article, Charles Smithson considers some of the lessons learned from the recent credit crisis. In particular, he reflects on the difficulties faced by many institutions in valuing illiquid structured finance instruments, and makes…
Breaking down
Correlation
Points of principle
Liquidity risk
Basel Committee releases incremental risk charge proposal
The Basel Committee on Banking Supervision today released revised proposals for the charging of capital for incremental risk in the trading book. The new rules, developed in conjunction with the International Organisation of Securities Commissions, are…
Valid Assumptions Required: Monte Carlo VaR
Brett Humphreys discusses the many decisions associated with the calculation of a Monte Carlo value-at-risk.
A meeting of minds
Now in its 12th year, the Energy Risk USA conference in Houston once again brought together key figures in the energy industry to debate the hottest topics. The Energy Risk team reports
Meeting the challenges of internal models
Featured Article
Measuring the risk temperature
Pensions Risk Survey
Scenarios for all seasons
Technology
The year of living riskily
VAR Survey
Basel Committee consults on liquidity risk management and supervision
Daily news headlines
Risk management concerns focus attention on technology solutions
Risk management solutions
Three early lessons from the subprime crisis
Academic Paper
Credit funds seek flexibility and sustainability from IT solutions
Innovative software solutions for credit strategies are a challenge. IT companies offer a plethora of solutions for an environment that lacks standardisation and needs a high degree of automation. Jamie Wynn-Williams reports
Vicious circles
Risk Management
State of the nation
REGULATORY NEWS
On the cost of regulation under Solvency II
Technical papers
Was könnte besser sein?
Value-at-Risk
Tails of the unexpected
Credit Models
Der Kampf der Ratings
Zertifikate