Market risk
VAR: history or simulation?
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation…
Margin notes
Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure
US pipelines follow the market
Todd Shipman of credit rating firm Standard & Poor’s finds that pipeline companies in the US will face more market risk than regulatory risk in the coming year
A perfect rating
Profile
Garman Unveils 'VAR Delta' Methodology
FRONT PAGE
Basle Agrees To In-House Risk Modelling
METHODS & REGULATIONS