Value-at-risk (VAR)
Basel scraps plans for final trading book QIS
Banks fear regulators will not have enough data to draw up sound rules by year-end
Goldman and Citi defy gravity on commodity VAR
Two banks' commodity VAR stays about the same or increases from 2012–14
VAR limits: dislocations put focus on other lines of defence
Wild moves in the Swiss franc and US Treasuries blindsided VAR models
Two measures for the price of one
Harvey Stein combines risk-neutral and real-world measures into risk methodology
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Cutting edge introduction: The only way is backward
Quants find way to streamline future value calculations for exotic
Bank risk manager of the year: Deutsche Bank
Risk Awards 2015: Teamwork allowed bank to cut VAR by $30 million in three days
Expected shortfall: end of the back-test quest?
Quants propose three ways to back-test expected shortfall – each more efficient than the regulatory version
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns