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…

Profile - Andrew Kasapis

Matthew Attwood talks to Credit's new columnist Andrew Kasapis, director of consultancy Credit Hedge Ltd, about what was behind this year's subprime snarl-up

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…

Leader of the pack

FRM's founder Blaine Tomlinson won the inaugural Hedge Funds Review award for best long-term achievement in the fund of hedge funds industry in November. He and FRM Limited CEO Paul Dunning reflected on how the industry has changed and institutionalised…

Caution pays

If you find the frustration of losing money too much to bear, Gems Advisors may be able to help. David Walker spoke to its CEO Miguel Abadi to find out how

VAR exceptions reflect volatile season

Investment banks reported increased numbers of high trading losses in the third quarter of this year, highlighting the volatility in the financial markets and casting doubt on their risk modelling.

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