Tail risk
What causes crashes?
Are large market events caused by easily identifiable exogenous shocks such as major newsevents, or can they occur endogenously, without apparent external cause, as an inherent propertyof the market itself? Here, Didier Sornette, Yannick Malevergne and…
Extreme forex moves
What is the appropriate statistical description of tail risk in a market portfolio? In the context offoreign exchange, Peter Blum and Michel Dacorogna address this problem using extreme valuetheory. Using 20 years of data, they estimate parameters for an…
Op risk modelling for extremes
Part 2: Statistical methods In this second of two articles, Rodney Coleman, of Imperial College London, continues his demonstration of the uncertainty in measuring operational risk from small samples of loss data.
Calculating portfolio loss
For credit portfolios, analytical methods work best for tail risk, while Monte Carlo is used to model expected loss. However, products such as CDOs require a model for the entire distribution. Sandro Merino and Mark Nyfeler meet the challenge by…
Retail banking accounts for two-thirds of op loss events, says Basel survey
BASEL, SWITZERLAND -- Operational losses in retail banking accounted for two-thirds of the number of operational losses suffered by banks, according to a survey by global banking regulators. The survey sought data about the impact on major banks of the…
Loss survey supports arguments against capital charges, say fund managers
London - The results of a survey by global banking regulators of banks’ operational loss experience support arguments against using capital charges as the main protection against operational losses in fund management and broker activities. This is the…