Value-at-risk (VAR)
Q&A: William Dudley on global CCP standards
Central counterparties are about to take centre stage in the revamped over-the-counter derivatives markets – a development that has given rise to a set of global principles for their management and supervision. William Dudley, president of the Federal…
OCC faces VAR vetting questions over JP Morgan loss
US regulator is responsible for signing off models used for regulatory capital purposes
VAR models in Vietnam give ‘false sense of security’
Lack of data for models is a function of Vietnam’s new capital markets – but no reason why the quality of data cannot improve over time, say speakers at Risk Vietnam conference
JP Morgan’s ‘London whale’ losses spark VAR debate
In-house probe will look at role of internal model change, among other factors
The ETN that grew too fast
The ETN that grew too fast
Basel Committee proposes scrapping VAR
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Enterprise-wide risk management: The power of cashflow-based metrics
Finding the best approach
Bank capital
In depth: bank capital introduction
Credible capital: regulators prepare to tackle RWA divergence
Credible capital
Each: CCPs seek safety in numbers
Each and everyone
A local approach to risk management in Asia – Allen Kuo profile
Local knowledge
How relevant is VAR for energy markets?
How relevant is VAR for energy markets?
Stronger defences needed: stress testing a eurozone break-up
For a few dollars more
Not all hedges are created equal
Not all hedges are created equal
Quants weigh up VAR's flawed alternatives
VAR at risk
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Goodbye VAR? Basel to consider other risk metrics
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better