Value-at-risk (VAR)
Risk management for private equity funds
This paper aims to fill a gap in the literature by developing the first comprehensive risk management framework for private equity fund investments.
A balanced approach to central counterparty margining
This paper is meant to serve as a comparison of the approaches and margin models employed by CCPs.
Performance testing of margin models using time series similarity
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Primary-firm-driven portfolio loss
This paper describes a simple model that can be used for risk management.
A note on the statistical robustness of risk measures
This paper focuses on the parametric estimators of risk measures and uses Hampel’s infinitesimal approach to derive the robustness properties.
Modeling impacts of stock jumps on real estate investment trust returns with application to value-at-risk
This paper aims to model the impact of extreme stock jumps on REIT returns.
FRTB Special Report 2017
Confronting the challenges of FRTB in P&L attribution, non-modellable risk factors and technology
A new bootstrap test for multiple assets joint risk testing
In this paper, a novel simulation-based methodology is proposed to test the validity of a set of marginal time series models.
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
Clearing house innovation of the year: Nodal Clear
Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
A quick tool to forecast value-at-risk using implied and realized volatilities
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
See the error of your VARs
Commonly-used VAR estimation method shown to underestimate risk
Adjusting VAR to correct sample volatility bias
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
Enterprise risk management powers up at utilities
Revived focus on ERM, but expectations now more realistic on what it can achieve
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Pension funds cautioned on equity-bond correlation
Buy-siders need to plug changes into VAR, say risk managers
Lining up the fundamentals
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL, Parker Fitzgerald and Numerix
Attribution of risk measures for improved risk and capital control
Sponsored feature: GFT
Value-at-risk bounds for multivariate heavy tailed distribution: an application to the Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity model
This paper aims to derive VaR bounds for the portfolios of possibly dependent financial assets for heavy tailed Glosten–Jagannathan–Runkle generalized autoregressive conditional heteroscedasticity processes using extreme value theory copulas.
VAR versus expected shortfall: why Priips has got it wrong
Hardwiring of older risk measure into Priips means risk ratings could mislead investors
FSB buy-side plans a 'step forward', says industry group
Investment Association welcomes suggestions to regulate illiquid and levered funds