comparemela.com

Page 5 - Market Risk Modelling News Today : Breaking News, Live Updates & Top Stories | Vimarsana

US banks record highest number of loss-making days in six years

Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4

Jp morganWells fargoBny mellonWells fargoState streetJp morganBank of americaMorgan stanleyGoldman sachsNited states usInvestment banksMarket riskProfit takingMarket risk modellingG sibsMarket volatility

SocGen cut trading VAR by a third in Q4

Trading risk gauge shrinks to lowest in 17 years

Societe generaleAlue at risk varStressed value at risk svarInterest rate riskEquity risk managementMarket riskMarket risk modellingTrading bookInterest ratesIsk quantum

Nordea s trading VAR keeps climbing amid rate hike jitters

Trading risk gauge surged 17% through Q4

Norges bankNordic countriesNterest rate modelsInterest rate riskInterest ratesMarket riskMarket risk modellingTrading bookAlue at risk varCapital requirementsIsk quantum

SA extends reach over EU banks market and op risk

Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic

European banking authorityEuropean unionEuropean banking authority ebaMarket risk modellingMarket riskOperational riskOperational risk modellingStandardised approachesNternal models approach imaDvanced measurement approach amaAsic indicator approach biaIsk weighted assets rwasBasel iiiInternal modelsIsk quantum

Evaluation of backtesting techniques on risk models with different horizons - Journal of Risk Model Validation

In this study different value-at-risk (VaR) models are analyzed under different estimation approaches (filtered historical simulation, extreme value theory and

Monte carloFinancial times stock exchangeValue at risk varMarket risk modellingModel validationOriginal research

vimarsana © 2020. All Rights Reserved.