Conditional value-at-risk (CVAR)
Banks tout break clauses as capital mitigant
Breaking with tradition
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
Isda AGM: industry getting to grips with nuts and bolts of reform
No-one’s talking about existential threats to the derivatives market any more – but the more practical questions that have now taken centre stage may prove harder to resolve