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Recent financial debacles have shown the limitations of traditional VaR models.
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Bootstrapping from historical data is a practical way to create scenarios for Monte Carlo simulations. -
The measurement of operational risk (OR) earned considerable attention in the wake of huge losses at investment banks such as Barings and Sumitomo.
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The Bundesaufsichtsamt für das Kreditwesen, the German Federal Banking Supervisory Authority, recently issued what it believes is the final circular on the capital adequacy treatment of credit derivatives.
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The last two Learning Curve articles described a multi-factor model for energy prices based on the observed forward curve and showed how energy derivative prices can be calculated.
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Last week's Learning Curve proposed a very general model for the evolution of energy prices that has been found to provide a good representation of reality.
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'Hedging' in its broadest sense means the reduction of risk by exploiting relationships or correlation between various risky investments.
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The Financial Accounting Standards Board's statement of financial accounting for derivative instruments 133, was issued June 1998.
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Recent advances in value-at-risk methodology can be effectively applied for risk measurement and management of international equity portfolios.
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This article will show how recent advances in value-at-risk methodology can be effectively applied for risk measurement and management.
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Credit risk is based, in part, on credit migration matrices that are used to describe changes in credit worthiness, usually on an annual basis.
