Value-at-risk (VAR)
Review of 2012: Basel III starts to bite
Basel III starts to bite
Risk software survey 2012
Coping with complexity
The false promise of expected shortfall
The false promise of expected shortfall
Banks retreat from commodity derivatives
Wall Street retreats
Banks cut commodity VAR as regulatory reform bites
Basel capital rules and regulatory reform stymie risk appetite of major banks in commodities
Range of practice in operational risk measurement
Rocky path to convergence
Final Esma clearing rules too rigid, CCPs say
Regulator has not given clearing houses enough freedom to calculate margin requirements, critics say - and Europe's CCPs may have to charge more for futures than their US rivals
Forex options traders count the cost of stressed VAR
Costing stressed VAR
Stressed VAR will hit forex options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Writing love letters to models
Love letters to models
Cutting Edge introduction: The origins of the standardised CVA charge
The origins of CVA
A model future (part I)
Models that use factors such as key risk indicators, or KRIs, for inputs align the op risk function with credit risk and market risk - and may increase the effectiveness of operational risk within an organisation. Marcelo Cruz looks at key factors in…
ETF tracking error conundrum
Tracking error conundrum
US senator calls for VAR overhaul
Speaking to Risk after JP Morgan boss testifies on $2 billion loss, US Senate banking committee member Kay Hagan says risk modelling and reporting need overhaul
JP Morgan loss was bungled attempt to cut Basel III RWAs, says Dimon
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
Risk.net poll: Industry divided over plan to scrap VAR
Poll on Basel Committee proposal to ditch VAR attracts close to 1,000 votes - with a narrow victory for critics of the metric
