Market risk
Insurers look to volatility controls to support long-term guarantees
As insurers look for ways to offer long-term guarantees to customers despite the challenging investment environment, some are turning to volatility control mechanisms to reduce the cost of hedging the guarantees. Louie Woodall examines how these…
Cutting Edge introduction: Continuity error
Continuity error
Insurers increase equity exposure despite risk management challenges
Joining the equity rotation
JP Morgan manipulated VAR and CRM models at London whale unit - Senate report
Trading book capital measures were at heart of efforts to free up traders and reduce capital
Bank capital models need more consistency: OCC's Pasch
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Cutting Edge introduction: The tipping-point for leverage
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
What Libor reform will change – and what it won’t
What Libor reform will change – and what it won’t
The false promise of expected shortfall
The false promise of expected shortfall
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Cutting Edge introduction: Tales of tails
Tales of tails
Sponsored statement: Standard Chartered
Asia’s local capital markets stand on the verge of a boom
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Tullett Prebon launches private equity hedge for Solvency II
Will reduce capital charge by at least 75%, inter-dealer broker claims
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
The growing complexity of energy market risk
Ever more complex
Writing love letters to models
Love letters to models
Managing Solvency II's equity capital charge
The volatility challenge
US senator calls for VAR overhaul
Speaking to Risk after JP Morgan boss testifies on $2 billion loss, US Senate banking committee member Kay Hagan says risk modelling and reporting need overhaul
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
