Value-at-risk (VAR)
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
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