PORTFOLIO RISK ANALYSIS: Cracking VAR with kernels - Value-at-risk analysis has become a key measure of portfolio risk in recent years, but how can we calculate the contribution of some portfolio component? The authors show how kernel estimators can be used to provide a fast, accurate and robust estimate of component VAR in a simulation framework.

Basel II - Compliance by default - Capital requirements for market risk are set to change dramatically under proposed new rules to capture incremental default risk. The authors take a look at the rules as they stand, suggest an alternative way forward and discuss some of the key technical challenges in modelling default risk in the trading book.

Smillie, Alan, (2007)

Use of stress scenarios in market risk economic capital

Smillie, Alan, (2014)

Regulation - A cross-section for CVA - The European Banking Authority has proposed a way for banks to calculate a credit valuation adjustment capital charge when credit default swap spreads are absent or illiquid — But it does not solve the problem, Nomura argues.

Epperlein, Eduardo, (2013)