Value-at-risk (VAR)
The three flavours of VaR
Each of the three methods of calculating value-at-risk has its pros and cons. Brian Shydlo of Sirius Solutions examines them
Component VAR for a non-normal world
It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a…
Component VAR for a non-normal world
Market Risk
Valid Assumptions Required: backtesting
Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.
Valid Assumptions Required: Monte Carlo VaR
Brett Humphreys discusses the many decisions associated with the calculation of a Monte Carlo value-at-risk.
The year of living riskily
VAR Survey
Valid Assumptions Required: delta-normal VaR
A delta-normal value-at-risk is one of the basic tools of risk management. Brett Humphreys discusses the assumptions associated with this calculation.
Looking forward to back testing
With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models' adequacy. Carsten S Wehn proposes a new regime of back testing, combining state-of-the-art…
Valid Assumptions Required: calculating correlations
Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.
Total control
Profile
A VAR, VAR better thing?
Banks reported a surge in the number of value-at-risk exceptions during the third quarter of last year following extreme turbulence in the financial markets. Are risk models breaking down? What are banks doing to fine-tune risk management practices and…
In-house System of the Year - Point, Lehman Brothers
Risk Awards 2008
VAR counts
Rising defaults in the US subprime mortgage market, plunging prices in the credit sector and a sharp squeeze in liquidity all contributed to make the third quarter very difficult for banks. Risk compares the value-at-risk figures of the major banks in…
Corporate Risk Manager of the Year - Google
Risk Awards 2008
Where the buck stops
Risk management units alone cannot avoid the damage from periodic bouts of irrational exuberance. That responsibility lies with the chief executive, argues David Rowe