Buy side turns to extreme value theory to spot tail risks
Asset managers reappraise decades-old technique to gauge downside risks amid fears of volatile 2022
Faced with an uncertain market outlook for 2022, quants seeking a better gauge of portfolio tail risks are turning to a near-century-old statistical technique with its roots in the British cotton industry.
Value-at-risk’s limitations are well known when it comes to accurately gauging the tails of distributions. Instead, risk managers, trying to predict statistically infrequent events in asset classes where they only have a handful of observations from which to extrapolate a probability, are
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Op risk data: Crypto hack bites Bybit; fat-finger flurry at Citi
Also: OKX gets AML scold, UK motor finance fiasco revs up. Data by ORX News
PTFs clash with banks over ‘done-away’ US Treasury clearing
Trading firms losing patience with banks’ reluctance to unbundle trading and execution
Iosco chief defends margin transparency standards
More reporting will improve financial system’s resilience, argues Rodrigo Buenaventura
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Clearing members welcome LME default fund cap
But 2022 nickel crisis still makes hedge funds doubt banks would foot the bill for default at all
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
