Black swan
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
A vine copula–GARCH approach to corporate exposure management
This paper applies vine copulas with GARCH marginals to the problem of capturing asset dependence and tail dynamics for currency and commodity exposures commonly found in portfolios of global corporates.
Risk managers take note: Brexit was not a black swan
Protecting yourself against true black swans is the art of the possible, not the probable
In operational risk, the future ain’t what it used to be
Just because we can't measure op risk accurately doesn't mean we should give up, argues Peter Sime
Expected shortfall’s silver lining
Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining
Fragile markets prompt banks to rethink tail risk
BNP Paribas and BTMU tout ‘scalable’ stress testing
Institutional inertia on tail risk measurement
Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe
Testing to destruction
Reverse stress testing is set to become standard practice under Solvency II as part of the validation process for internal models, yet for most European insurers such tests are a new concept. Clive Davidson examines what can be learned from the UK, where…
Not all hedges are created equal
One of the key lessons risk managers should take from the global financial crisis is that apparently sound hedges may not do the job in all conditions, argues David Rowe
Quants weigh up VAR's flawed alternatives
The Basel Committee will consider ditching value-at-risk as the basis for trading book capital, but an obvious alternative, expected shortfall, has problems of its own. Laurie Carver reports
Bank models are built on foundations of sand
Despite the remarkable advances made over the past 25 years, David Rowe argues the industry’s existing risk models are not fit for purpose when it comes to stress testing and analysis of tail risk
Prepare for further black swan events in FX, corporates told
Corporate treasurers should make sure their forex counterparties are properly prepared for the possibility of further black swan events in the foreign exchange markets, senior Lloyds banker tells ACT conference delegates in Manchester
Can risk managers take action against sovereign meltdown?
The discipline of risk management is not suited to deal with systemic crises
Stress testing under stress
The extreme market-moving events of this year are causing risk managers to revisit the basics of stress testing – how often, which factors to include, and how sensitive and specific to make them. Is there a set answer or must each firm decide its own…
Investors seek tail risk funds to cover 'black swan' events
Fear of extreme events has spawned a number of dedicated tail risk funds since the global financial crisis. Credit examines what the current major risks are and whether institutional investors need to employ specialist funds to hedge them.
The Universa approach to hedging tail risk
Elevated concern about extreme events has boosted interest in hedging tail risk, but this means turning conventional fund management on its head. Mark Pengelly talks to Mark Spitznagel, founder of hedge fund Universa Investments
Risk Europe: Operational risk key to enterprise risk management
Op risk should play a dominant role in the development of ERM, says Thomson Reuters’ Philippe Carrel
Looking at Black Swans
In the second of a four-part series on the development of risk management, David Rowe considers the phenomenon of high-impact events, or Black Swans
Why banks must prepare for a 'black ash' event
Erupting volcanoes do not often show up in scenario plans for financial services firms but they might do from now on.