Value-at-risk (VAR)
Applying the Cornish–Fisher expansion to value-at-risk estimation in Islamic banking
This study deliberates upon a proposed delta–gamma sensitivity analysis–extreme value theory (DGSA–EVT) model that focuses on the assessment of risk exposures represented by the value of value-at-risk (VaR) in three incomegenerating channels: one in…
Risk ratings rumpus: industry at odds over Priips methodologies
Dealers, regulators and distributors split on way forward for key information document risk indicators
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Flawed reliance on VAR a systemic risk for insurers
Solvency II has its weaknesses, says writer and consultant René Doff
Backtesting Solvency II value-at-risk models using a rolling horizon
The author of this paper performs an analysis on a review of the equity stress parameter for Dutch pension funds.
Bayesian operational risk models
This paper proposes a methodology to frame risk self-assessment data into suitable prior distributions that can produce posterior distributions from which accurate operational risk measures.
Scaling operational loss data and its systemic risk implications
A scaling methodology to include external data in operational risk calculation is introduced
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
The authors of this paper study the approximation of extreme quantiles of random sums of heavy-tailed random variables. More specifically, sub-exponential random variables.
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
This paper proposes a technique based on the saddlepoint approximation to quickly and accurately estimate common portfolio risk measures and their associated marginal component contributions.
MVA by replication and regression
Burgard and Kjaer method is extended to include margin valuation adjustment
Basel lacks data to judge FRTB impact, critics claim
Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
Practitioners must take risk measures with a pinch of salt
Buffett's warning on perils of volatility is well justified, argues Kaminski
Time to see models and shocks for what they are
Market shocks are earthquakes, not a game of roulette
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Goldman and Citi defy gravity on commodity VAR
Two banks' commodity VAR stays about the same or increases from 2012–14
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING