Value-at-risk (VAR)
Backtesting expected shortfall: mission accomplished?
A rigorous backtest for ES cannot exist, but a good approximation might do the job
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
The minimally biased backtest for ES
Acerbi and Szekely present a backtest for expected shortfall
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
VAR lookbacks should shift dynamically, research suggests
Change-point analysis method helps identify regime shifts in equities markets, quants claim
RBC expands market risk model scope
Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
State Street, UBS and TD Group incur VAR breaches
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
Model refinements slim UBS market risk RWAs
The bank’s market RWAs fell to $10.9 billion at end-June
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke