Risk management
Good citations
Degree of influence
Banks not effectively applying risk tools, says report
Many banks are not effectively applying risk tools when pricing and structuring deals, according to research and consultancy company PA Consulting.
Value-at-risk: down but not out
‘No more VAR.’ This increasingly shrill call is being made by a section of the academic finance community both in journals and at conferences. Now, some practitioners are latching on, offering ‘VAR-free’ portfolio optimisation that is being promoted as…
Doing the maths: physical value-at-risk
ABB’s William Rutz and Bob Fesmire investigate new tools that calculate physical value-at-risk based on simulations of generating resources and power transactions
Build in or buy out?
Is it more cost-effective for companies to buy available systems from vendors or to develop and deploy their own energy trading and risk management solutions? Bob Bridger of Vedaris looks into the dilemma faced by many companies
Landesbanken's operational risk management tool
Many German banks lag behind their peers when it comes to operational risk management. The proposed new international bank capital accord, Basel II, which - for the first time - stipulates a separate capital charge for operational risk, has put the topic…
Clear in present danger
Energy companies are crying out for clearing solutions to reduce their counterparty credit risk. James Ockenden looks at new initiatives from London-based power exchange UKPX and German firm Clearing Bank Hannover
Managing risk under SMD
Scott Greene, Mark Niehaus and Pankaj Sahay examine the impact of Ferc’s proposed standard market design on power risk management
Keeping EAR simple
Brett Humphreys discusses how trading groups can be captured within earnings-at-risk and cashflow-at-risk models. He suggests taking a top-down approach instead of a bottom-up approach based on actual positions
Pondering structural change
Alternative investing systems
Value and growth in a global context
Portfolio risk
Dry market in need of liquidity
Weather-linked notes
Var too far
The energy industry has shown tremendous commitment to value-at-risk (Var) methodologies. But use of Var has been misguided, as James Ockenden discovers
Keeping an eye on the long-term
Brett Humphreys discusses the problems with standard credit risk limits and proposes limits that may work better
The power of the CDS
Credit default swaps
Buying and selling risk
Risk budgeting
Exploiting neutrality
Hedge fund profile
Buying in, not selling out
Career changes
UK allows for Basel II delays in risk-based rules for financial services
LONDON - UK regulators said in late July they would implement their plans for uniform, risk-based rules for UK-based banks, insurance companies and securities firms in several stages, instead of one or two, following delays to the Basel II bank accord.
What’s the worst that could happen?
Brett Humphreys discusses how using a standard credit value-at-risk measure may be misleading for credit risk decisions
Using Bayesian networks to predict op risk
By combining qualitative and quantitative data, Bayesian networks offer the perfect solution to the compelling need for an integrated approach to operational risk management, say Martin Neil and Ed Tranham.
The value of volatility
Brett Humphreys and Tim Essaye seek out the best method for calculating volatility by comparing different measures, and find that complex approaches aren’t necessarily the best ones to use
Macro finance: the bigger picture
Country risk