Value-at-risk (VAR)
Ambition of Basel's trading book review has faded, sources say
Patchwork of risk measures - including standalone CVA charge - may be left intact
RWA probe could cut modelling flexibility, says new Basel chief
A stricter approach to the modelling of bank capital is "high likely", as a result of concerns that risk-weighted asset numbers are too divergent
Bank models are built on foundations of sand
Foundations of sand
Cutting Edge introduction: risky contributions
Risky contributions
Analytical risk contributions for non-linear portfolios
Analytical risk contributions for non-linear portfolios
Credit derivatives house of the year: Deutsche Bank
Risk awards 2012
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Delayed Basel trading book review will be broad, say supervisors
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change
Margin models converge as CCPs battle for dealer support
Dealers say they won’t join clearing houses that are not robust – and have already blackballed one central counterparty. As a result, the initial margin methodologies employed by the big rates clearers have begun to converge. Matt Cameron reports
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Barriers to Basel
Dangerous adaptation: the evolution of risk
Dangerous adaptation: the evolution of risk
Prop trading ban set to crimp market-making and hedging activities
Putting a stop to prop
Can risk managers take action against sovereign meltdown?
A risk too far?
Sponsored educational feature: UBS Delta
When is a hedge not a hedge? ALM under Solvency II
Finding Volcker rule metrics will be tough, dealers warn
Crop of the props
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures