Value-at-risk (VAR)
Expected shortfall and VAR: cracking the marginal allocations
A new method to estimate marginal VAR and marginal ES is presented
The FRTB data management challenge
Sponsored forum: Asset Control
Options for tackling model risk limited, conference hears
Greater use of models means risk "has significantly increased", says HSBC's Bhaskar
Value-at-risk time scaling: a Monte Carlo approach
This paper discusses a VaR time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR.
Quant Ideas: How VAR can add value to energy market analysis
Alessandro Mauro shows how using value-at-risk can improve market risk analysis in the energy sector
Revised Basel III better reflects bank risk, research finds
Study says 2013 capital rules more in line with actual risk, but can be easily gamed
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Testing interest rate models for Solvency II applications
Alexey Botvinnik and Vladimir Ostrovski propose a validation method for interest rate models
Extreme value theory has hidden risks, research finds
Method for calculating capital based on sparse data can lead to additional model risk
Model uncertainty in risk capital measurement
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Cutting Edge introduction: No more shortfalls?
Academics develop expected shortfall backtest to compare standardised and internal models
Expected shortfall is jointly elicitable with value-at-risk: implications for backtesting
Fissler, Ziegel and Gneiting investigate the role of elicitability in backtesting problems and show how comparative backtests can be implemented for expected shortfall
Diversification benefit of operational risk
Torresetti and Le Pera explore the relevance of the diversification benefit from a theoretical and practical viewpoint
Downside risk measure performance in the presence of breaks in volatility
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
And so, farewell: David Rowe's final risk analysis column
After 16 years as our risk analysis columnist, David Rowe looks back at a recurring challenge
A comparison of alternative mixing models for external data in operational risk
This paper studies alternative mixing models for external data for a particular risk class.
Extreme value theory, asset ranking and threshold choice: a practical note on VaR estimation
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
Historical simulation with component weight and ghosted scenarios
This paper puts forward two strategies for improving Historical Simulation in weak areas.
Expected shortfall’s silver lining
Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining
Risk model validation for BRICS countries: a value-at-risk, expected shortfall and extreme value theory approach
The authors of this paper employ value-at-risk (VaR) and expected shortfall (ES) as risk measures to assess the competency of several volatility models, based on the stock indexes of the BRICS countries (Brazil, Russia, India, China and South Africa)…
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
Advanced risk profile analysis of Islamic equity investment: evidence from the American, Asian and European markets
This paper investigates three Islamic equity indexes, classified by economic hubs (Dow Jones Europe, Asia/Pacific and United States), against their conventional peers from 2003 to 2009.