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White paper

A Simple Traffic Light Approach To Backtesting Expected Shortfall

Abstract. We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and analogous to, the Traffic Light approach to backtesting VaR initially proposed by the Basel Committee on Banking Supervision in their 1996 consultative document [5]. The approach relies on the generalised coverage test for Expected Shortfall developed in [6]. By Nick Costanzino and Michael Curran
White paper

Prices of barrier and first-touch digital options in Lévy driven models, near barrier

This paper describes the calculation of the asymptotics of barrier options and one-touch options near the barrier for wide classes of Lévy processes. In the case of processes of infinite activity and finite variation, with the drift pointing from the barrier, the authors prove that the price is discontinuous at the barrier. This observation can serve as the basis for a simple, robust test of the type of processes observed in the financial markets. By Mitya Boyarchenko, Marco de Innocentis and Sergei Levendorskii
White paper

Taking risk to the top office

Following the billions of dollars in subprime writedowns, banks continue to look at how best to organise the risk management function. Steve White makes a far-reaching proposal. By Steve White
White paper

Towards a global valuation model

Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high throughput computing could lead to the possibility of a global valuation model. By Claudio Albanese, Guillaume Gimonet and Steve White
Riskcare Facts 10%

The world’s biggest investment banks’ revenues have fallen 10% per year since 2009, yet costs have dropped just 1% per year.

Riskcare Facts 70%

In 2010 industry experts estimated data management and data cleansing costs alone were consuming 70% of the risk management TCO.