Replacing VAR, OIS discounting and the future of quant finance – the top stories of 2012
The Basel Committee’s proposal to scrap VAR and the move to OIS discounting struck a chord with Risk.net readers in 2012
The revelation in February that the Basel Committee on Banking Supervision was considering scrapping the use of value-at-risk as the basis for modelling market risk capital was the most viewed story on Risk.net in 2012. The committee eventually released its long-awaited review of trading book rules in May - and, as anticipated, suggested expected shortfall as an alternative measure, as detailed in
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 Markets
Natixis bolsters Apac market-making presence with new hires
Additions include head of Apac linear G10 rates and FX trading, and China markets head
EU securitisation rethink to boost mortgage-bearing SRTs?
Insurer participation and a lower risk weight could help make capital savings attractive to banks
The great term premium comeback
Sovereign bonds are reintroducing risk compensation, opening up new areas of rates innovation, write Barclays rates heads
Low-vol gold rush points to further upside
Options markets see no scramble to chase metal higher despite 43% year-to-date rally
HKD trading surge highlights pegged currency challenges
Pricing options on currencies with a peg requires a “different mindset”, say traders
Calamos’s $200m inflows trigger autocall ETF ‘frenzy’
First mover expands to US tech, Innovator ETFs plans rival listing on September 25
Why flows now rival fundamentals
Geography and market sentiment are having profound impacts on price action, says LMAX’s head of FX data
Nifty trades of Graham
Talking Heads 2025: Macro hedge fund shut down swap-spread exposure during April turmoil; sees positive signals amid Trump noise
