Value-at-risk (VAR)
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Cutting edge introduction: The only way is backward
Quants find way to streamline future value calculations for exotic
Bank risk manager of the year: Deutsche Bank
Risk Awards 2015: Teamwork allowed bank to cut VAR by $30 million in three days
Expected shortfall: end of the back-test quest?
Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
VAR replacement may be too volatile, banks warn
Criticism of expected shortfall has been muted, but concerns are growing
Volatility and correlation: the missing link
Research decouples risk components
Estimation of risk measures for large credit portfolios
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
Trends in risk management
Sponsored survey analysis: SunGard
Expectiles behave as expected
Expectiles' results are analogous to those of value-at-risk and expected shortfall
Replacing VAR: smaller banks fear expected shortfall workload
Some banks worry they may not have enough data to implement expected shortfall safely
'Dangerous spike' in value minus growth
Volatility clustering and trend reversals not seen since 2006