A New “Definitive” model for Risk Risk Edge has recently released its latest Whitepaper on Back-testing Expected Shortfall. The paper presents a New “Definitive” Model for Risk Management and answers several long-standing questions about managing Risks: Why use VaR when it doesn’t give clarity of extreme losses? Can we use Expected Shortfall (ES) to give […]
Whitepaper – Historical vs Implied Volatility We’ve just released our latest Whitepaper – Historical vs Implied Volatility: Which one to use for Computing VaR? The Whitepaper tackles one of the oft-pondered questions in the Risk Manager’s circles – should they use Historical Volatility or use Implied Volatility for calculating VaR. There are generally good arguments […]
Handbook for Risk Requirements & More… Over the last few weeks, we’ve released a new Whitepaper, initiated a “Knowledge Series” of Articles on Commodity Risk Management. Both have received pretty good responses so far. A lot of people have written to us appreciating the publications on Commodity Risk Management, and buoyed by this response we’ve […]
Commodity Risk Management beyond VaR First, the bad news – Value at Risk (VaR) of a position / portfolio just gives the maximum loss you can have, with a certain confidence. But it doesn’t tell you what your position / portfolio could lose beyond that confidence. If you are the one managing risks in your […]