Market risk

Associations send repo VAR protest to Basel Committee

US and UK industry associations have sent a joint letter to the Basel Committee on Banking Supervision expressing their "disappointment" that the multipliers for portfolio value-at-risk modelling of repo counterparty exposure will not be altered in the…

Contributions to credit risk

Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how…

Basel's CDO solution

As the Basel Committee on Banking Supervision continues its stately progress towards a revised capital Accord, one area remains under debate: the proposed capital rules for asset securitisations.

Waiting for guidance

South Korea's banks have made huge strides in implementing risk management systems over the past few years, but Basel II is not yet a driving force, with banks waiting for the Korean regulator to publish local guidelines.

Risk management based on stochastic volatility

Risk management approaches that do not incorporate randomly changing volatility tend to under- or overestimate the risk, depending on current market conditions. We show how some popular stochastic volatility models in combination with the hyperbolic…

At your own risk

There is a growing demand from investors for transparency. The dilemma for managers is providing enough information without damaging their strategy

Getting it right

Gottex Market Neutral Fund has made consistent high returns for investors since June 1999. Hedge Funds Review looks at what makes this fund tick

Fitch upgrades OpVar tool for operational risk

Fitch Ratings has added a range of new services to its OpVar software suite, an operational risk management quantification tool. Version 5.0, scheduled for release in March, now offers an enhanced data collection module and improved data management…

Software survey 2003

Credit technology hogged the spotlight in 2002, as the spectacular collapse of a host of corporate giants combined with movement on the Basel II Accord focused everyone's attention on this class of exposures.

Getting stressed

To understand how much value can be lost from a position in the energy markets, we need to use measures other than value-at-risk. Brett Humphreys discusses methods for creating effective stress tests