Value-at-risk (VAR)
Why CCPs are the new rating agencies – and pose the same risks
A clear alternative?
Communicating portfolio risk intuitively and effectively
Visualising risk
Quant Congress Europe: Test models as you build them, says BAML expert
With the 'London Whale' modelling failures still casting a shadow over the industry, BAML model risk head advocates ongoing testing
Applied risk management series: Venturing beyond VAR
Venturing beyond historical VAR
Monitoring daily hedge fund performance when only monthly data is available
The ability to infer daily performance from less frequently observed returns data can help hedge fund investors understand intra-month gains and losses
Risk management central to hedge fund capital raising, says survey
As more institutional investors opt for hedge funds, robust risk management is being seen as a central function needed in order to raise capital, according to a survey by Prmia and SunGard APT
JP Morgan manipulated VAR and CRM models at London whale unit - Senate report
Trading book capital measures were at heart of efforts to free up traders and reduce capital
Swap futures margins may be underestimating risk exposures
A difference in margin approach between swaps and futures may mean the latter are not assessed on their level of riskiness
Mooted VAR substitute cannot be back-tested, says top quant
Basel Committee should stick with VAR, argues Paul Embrechts of ETH Zürich
Bank capital models need more consistency: OCC's Pasch
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Bank commodity VAR remains muted in Q4
Bank commodity value-at-risk remains muted in Q4
Banks fear outcome as Basel Committee wraps up RWA review
Mending the RWA machine
Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
