Risk.net - Financial Risk Management News Analysis
WEBThe post-Archegos risk model rebuild begins… slowly. Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort. By Mauro Cesa and Luke Clancy. By Paulina Pielichata.
VAR versus expected shortfall - Risk.net
WEBMar 1, 2007 — Expected shortfall, like VAR, is a function of two parameters: N (the time horizon in days) and X % (the confidence level). It is the expected loss during an N -day period, conditional that the loss is greater than the X th percentile of the loss distribution. For example, with X = 99 and N = 10, the expected shortfall is the average amount ...
Read Risk Books online at Risk.net
WEBUse the search bar to find specific titles, or filter by industry or market type. All Risk Books chapters and editions are available to read online in the academic, risk management and front office subscription packages. Risk Books’ mission is to produce books that truly add value by delivering the very best information on our subjects.
Credit risk definition - Risk.net
WEBCredit risk is the risk of a borrower defaulting on a loan, or related financial obligation. Alongside market risk and operational risk, it is one of the three major classes of risk that banks face, and accounts for by far the largest share of risk-weighted assets (RWAs) at most banks. Banks use credit risk modelling to calculate the amount of capital to hold against credit losses.
Total loss-absorbing capacity (TLAC) definition - Risk.net
WEBJan 1, 2022 — Total loss-absorbing capacity is an international standard, finalised by the Financial Stability Board (FSB) in November 2015, intended to ensure that global systemically important banks (G-Sibs) have enough equity and bail-in debt to pass losses to investors and minimise the risk of a government bailout. From January 1, 2022, G-Sibs are required to hold a TLAC amount of 18% in terms of risk ...
Risk Journals - Quantitative Risk Management Resources - Risk.net
WEBRisk Journals deliver academically rigorous, practitioner-focused content and resources for the rapidly evolving discipline of financial risk management. Each quarter, Risk Journals provide peer-reviewed research and technical papers, delivered to a global audience in print and online. The Risk Journals portfolio has been serving broad and ...
Value-at-risk (VAR) definition - Risk.net
WEBValue-at-risk is a statistical measure of the riskiness of financial entities or portfolios of assets. It is defined as the maximum dollar amount expected to be lost over a given time horizon, at a pre-defined confidence level. For example, if the 95% one-month VAR is $1 million, there is 95% confidence that over the next …
Nathan Tipping - Risk.net
WEBApr 3, 2022 — Nathan is a London-based staff writer for Risk.net, covering asset managers, pension funds, hedge funds and insurance companies. He previously wrote for Bonds & Loans, where he covered emerging market credit. Nathan holds a degree in history and politics from the University of Warwick. Contact: [email protected] or …
Risk management news and analysis articles - Risk.net
WEBEvents. 19 Nov 2024. Bangkok, Thailand. Find out more. 08 Apr 2025. Boston, USA. Find out more. Latest Risk management articles on risk management, derivatives and complex finance.
Journal of Risk - a Risk.net journal
WEBThe Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications. Risk capital allocation and risk budgeting. Efficient evaluation of risk measures under increasingly complex and realistic model assumptions. Impact of risk measurement on portfolio allocation.