Risk Journals
Dynamic gas models make for better hedges
Study highlights dwindling role of weather in market
New statistical approach proposed to tackle internal fraud
Tests improve on methods to identify anomalous data created by fraudsters
Quants tout improved expected shortfall backtest
Measure aims to provide better gauge of VAR violations
Batteries still falling short on load balancing, study finds
Significant cost reductions – or capacity payments – still needed
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Options pricing shows next few years crucial for US coal
Carbon trading outweighed by building and fuel cost, research finds
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Banks should quantify loan-loss model risk – academic
Models such as those used for IFRS 9, CECL or CCAR are prone to errors, and should be accounted for
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
ETFs may shift oil price but not stockpiles
Inelastic oil market moved easily by speculation, finds macroeconomist
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
CCPs should pay twice into default waterfall, say researchers
Chicago Fed paper calls for contributions before members’ capital is tapped and after it is depleted
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks