Market risk
OpRisk Europe: Capitalise on op risk interest, conference told
A current focus on operational risk by senior management should be grasped by op risk teams to make key improvements
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
Dangerous embrace: disentangling bank and state
Dangerous embrace
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
Tullett Prebon and Allianz to launch Solvency II data service
Benchmark OTC curves 'will help insurers calculate risk data for market risk models'
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk
An Arch economist
Stress test struggle: separating liquidity and market risks
Stress test struggle
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Beware of data leverage
Beware of data leverage
Sponsored feature: BNY Mellon
Putting cash to work – Now and post Solvency II
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
Quants weigh up VAR's flawed alternatives
VAR at risk
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
No nosedive: markets could defy doom-mongers
Challenging the doom-mongers
Bank models are built on foundations of sand
Foundations of sand
Cutting Edge introduction: risky contributions
Risky contributions
Top CROs worry about Basel III consistency
A new research report published this month by Risk reveals that CROs at the world’s largest banks are worried about the consistency of Basel III rules
Economic turmoil taxes market risk models
Treading carefully
Use of OECD ratings in US market risk proposals questioned
Country risk classifications "are not sovereign ratings" says OECD. US regulators last month proposed using them as an alternative to external credit ratings
Basel 2.5: US ratings workaround too punitive, banks complain
Basel 2.5: US ratings workaround too punitive, banks complain
