Market risk

From VAR to stress testing

Implementation of enterprise-wide VAR models in the 1990s was an important risk management advance, but it's time to rethink some fundamental aspects of how they were designed, argues David Rowe

Validating EPE

Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models

Surveying risk management

How is risk management viewed in your company? Are there risks you would like to measure but don’t? Which methodologies are most commonly used? What should the discipline tackle next? Energy Risks’ survey reveals recent trends in risk management.

Risk management for LDCs

US Gas Distribution Companies, long experienced in managing volumetric risk, now face market risk, high commodity prices and credit risk. Matthew Frye looks at strategies to model these risks in aggregate

Surveying risk management

How is risk management viewed in your company? Are there risks you would like to measure but don''t? Which methodologies are most commonly used? What should the discipline tackle next? Our latest survey reveals all

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