Market risk
Challenging times for VAR
With the release of three new consultation papers in January, the Basel Committee has come up with its most ambitious plans yet for tackling the challenges presented by the financial crisis. But its proposal to overhaul VAR models is coming in for some…
BoE stability chief calls for stress war games
Banks could be forced to carry out joint stress tests to model the knock-on effects of a single disturbance on the entire financial system, according to the Bank of England's head of financial market stability, Andrew Haldane.
Software Survey 2009
Software Survey 2009
A model approach
Technology
Basel Committee prepares to raise capital requirements with 'stressed VAR' test
Banks may face significantly higher regulatory capital requirements under proposed changes to the Basel II capital adequacy rules released today.
The three flavours of VaR
Each of the three methods of calculating value-at-risk has its pros and cons. Brian Shydlo of Sirius Solutions examines them
BIS releases roadmap to better stress testing
The Bank for International Settlements (BIS) has issued a list of improvements to stress-testing practices that it says could help banks and regulators avoid a repeat of the failures exposed during the financial crisis.
Calls grow for scrapping of Basel II accord
Industry figures argue that the capital adequacy regime is not relevant in today's economic climate, and that regulators have already abandoned certain aspects of the accord on the quiet
Attenti a quel rischio
Basilea 2
Solvency II Reinsurance - Counterparty default risk
Technical papers
Model behaviour
Sponsored Roundtable
Component VAR for a non-normal world
It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a…
Pushed to the limit
Stress testing
Quant Congress Europe: VAR models still essential
Despite criticism over the accuracy of value-at-risk models through the financial crisis, chief risk officers speaking at Quant Congress Europe said they were still invaluable.
Hedge funds harness volatility in turbulent markets
Trading volatility can help hedge funds to diversify their portfolios and generate alpha in a challenging market. Kris Devasabai and Stephen Quigley report on the strategies employed by volatility traders and its emergence as an asset class
Hedge fund industry looks set to grow as Benelux improves regulations and laws
While the Benelux union of Belgium, the Netherlands and Luxembourg does not offer a common solution for hedge fund marketing or establishment, there are opportunities to attract investment to funds and expand the industry. Jamie Wynn-Williams reports
Shipping fund tames stormy waters to provide rewards for investors
The success of M2M Management is challenging long-held preconceptions about investing in the volatile shipping market. US Editor Kris Devasabai talks to the company's joint managing directors about its extensive experience and its investment strategy