Market risk - Risk management - Risk.net

Bank models are built on foundations of sand

Mon, 06 Feb 2012 16:53:51 GMT

Foundations of sand Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk

Cutting Edge introduction: risky contributions

Mon, 06 Feb 2012 16:53:01 GMT

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Risky contributions Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly save computing power – and explicitly show the sources of risk. Laurie Carver introduces this month’s technical articles

Economic turmoil taxes market risk models

Tue, 31 Jan 2012 16:12:50 GMT

Risk.net

Treading carefully Managing market risk is a key issue for life insurers. Clive Davidson looks at the challenges they face in modelling this risk and how the assumptions that underpin their models are changing in response to the recent economic turmoil

Risk managers complain about Fed stress test workload

Thu, 19 Jan 2012 00:05:00 GMT

Risk.net

Twelve new banks are included in this year's US stress test, and some institutions are unhappy about the extra work

Basel 2.5: US ratings workaround too punitive, banks complain

Thu, 12 Jan 2012 16:11:00 GMT

Risk.net

Basel 2.5: US ratings workaround too punitive, banks complain Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement

Cutting edge introduction: requiem for a probabilist

Tue, 10 Jan 2012 15:46:46 GMT

Risk.net

Requiem for a probabilist The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver introduces this month’s technical papers

Cutting Edge introduction: requiem for a probabilist

Tue, 10 Jan 2012 15:46:00 GMT

Risk.net

Dealers count cost of Santander's Brazilian real hedges

Thu, 08 Dec 2011 22:25:00 GMT

Risk.net

Real pain Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like a stone in late September. By Peter Madigan

Credit Suisse and UBS on Basel 2.5: "Inconsistent, over-conservative, overlapping"

Wed, 02 Nov 2011 15:44:44 GMT

Risk.net

Half a world away Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged between the two institutions. By Duncan Wood

Risk.net

CCP contest starting to heat up

Mon, 03 Oct 2011 22:09:00 GMT

Risk.net

Give CCPs a chance

Basel 2.5: regulators still wrestling with Dodd-Frank clash

Mon, 03 Oct 2011 22:00:00 GMT

Risk.net

Barriers to Basel The Dodd-Frank Act means elements of Basel’s new trading book rules cannot be implemented in the US – although supervisors claim it will only be a temporary reprieve. A review of the rules has also been delayed. Mark Pengelly reports

Right Laplace, right time

Mon, 03 Oct 2011 16:34:00 GMT

Risk.net

Right Laplace, right time Calibrating implied volatility just got easier – thanks to a classical mathematical device with an illustrious history. Laurie Carver introduces this month’s technical articles by looking at how the Laplace transform can make volatility calibration more efficient

Cutting Edge introduction

Mon, 03 Oct 2011 16:34:00 GMT

Risk.net

Cutting edge introduction

Mon, 03 Oct 2011 16:34:00 GMT

Risk.net

Putting a stop to prop To make the Volcker rule work, regulators will need to be able to spot proprietary trading. But although a range of indicators has been suggested, finding a way to catch prop trading without also catching some market-making and hedging activity won’t be easy, especially when it comes to derivatives

Risk.net

More US banks expected to employ AMA, while new stress-testing proposals increase interest in operational risk quantification among smaller banks

Risk.net

Market volatility may have brought UBS losses to light

Fri, 16 Sep 2011 07:55:00 GMT

Risk.net

The revelation of rogue trading at UBS follows a period of market volatility. That is nothing new, say risk managers

Cutting edge introduction

Tue, 06 Sep 2011 08:34:57 GMT

Risk.net

A popular copula Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods – and a new framework that could make them the foundation for tomorrow’s stress tests

RBS launching gamma hedging algo for forex clients

Mon, 05 Sep 2011 10:58:08 GMT

Risk.net

New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options

Mexico’s hedging programme gears up for 2012

Mon, 05 Sep 2011 09:20:25 GMT

Risk.net

This week Mexico’s Congress will begin to debate the price at which the country hedges its oil exports next year

Credit Suisse: first cleared coking coal swap

Thu, 01 Sep 2011 08:50:56 GMT

Risk.net

Credit Suisse has announced the completion of the first cleared coking coal swap transaction, based on a new over-the-counter cleared contract on the CME

Study says funds of hedge funds see limited diversification benefits

Tue, 09 Aug 2011 08:59:32 GMT

Risk.net

FoHFs see limited diversification benefits Fund of hedge funds (FoHF) portfolios with more than 25 underlying managers have weaker performance and increased tail risk, according to research from New York University's Stern School of Business