Market risk
Cutting Edge introduction: Hedging dependence
Hedging dependence
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
VAR models in Vietnam give ‘false sense of security’
Lack of data for models is a function of Vietnam’s new capital markets – but no reason why the quality of data cannot improve over time, say speakers at Risk Vietnam conference
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk
An Arch economist
The ETN that grew too fast
The ETN that grew too fast
Stress test struggle: separating liquidity and market risks
Stress test struggle
Cutting edge introduction: perturbing the smile
Perturbing the smile
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Asian institutional investors focus on quantitative risk management
Investors in Asian institutions are catching up with European and North American counterparts in demanding quantitative risk measures and risk numbers as part of their investment mandate, says risk head at AmInvestment Group in Malaysia
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Stronger defences needed: stress testing a eurozone break-up
For a few dollars more
Not all hedges are created equal
Not all hedges are created equal
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Mining companies remain unhedged, despite Chinese clouds
The hedge of reason
Quants weigh up VAR's flawed alternatives
VAR at risk
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact
Bank models are built on foundations of sand
Foundations of sand
Cutting Edge introduction: risky contributions
Risky contributions
Economic turmoil taxes market risk models
Treading carefully
Risk managers complain about Fed stress test workload
Twelve new banks are included in this year's US stress test, and some institutions are unhappy about the extra work
Basel 2.5: US ratings workaround too punitive, banks complain
Basel 2.5: US ratings workaround too punitive, banks complain