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Value-at-Risk Related News
 in chronological order

 See also: Value-at-Risk Related Books, Value-at-Risk Related Scholarly Papers, or Value-at-Risk Home Page.

Table of Contents:
 

Kaspersky Lab Brings Home “Best VAR Solution: Software” and “Best Enterprise Alliance Strategy” Awards from Recent IT ChannelVision Event

November 13, 2006
From BusinessWire:
 Kaspersky Lab, a leading developer of secure content management solutions, announced today that the North American operation was once again recognized for its unique and innovative value-added reseller program at the recent IT ChannelVision, a business-focused channel event produced by Vision Events. Kaspersky Lab received awards for “Best VAR Solution: Software” and “Best Enterprise Alliance Strategy.” The Company was also a nominee in the following categories: “Best VAR Channel Strategy,” “Best VAR Presentation,” “Best Enterprise Vendor Presentation” and “Best Enterprise Solution.” These honors are particularly prestigious given that the Best of IT ChannelVision awards are the only accolades in the channel solely voted on by the attending resellers and solution providers.

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TwoFour adds VCV VaR calculation support

November 13, 2006
From Finextra.com:
 TwoFour Systems, a leading provider of global financial transaction processing systems, today announced the addition of Variance-Covariance Value at Risk (VCV VaR) calculation support in its comprehensive, cross-product TwoFour trading platform.

TwoFour clients can now employ VCV VaR calculation methodologies to strengthen risk management practices for global portfolios. TwoFour seamlessly integrates with external sources of volatility and correlation data for calculating VCV VaR.

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Deutsche Bank Incurs Growth Pains Chasing Goldman, Eluding Risk

August 29, 2006
From Bloomberg:
 To make the most of trading opportunities for themselves and clients, firms have increased their so-called value at risk, a measure of how much they could lose in a day if the markets turned against them. While Goldman's value at risk was 40 percent higher in the second quarter than at the end of last year, Deutsche Bank's risk was almost unchanged, company filings show. Value at risk is calculated differently at different banks.

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Value-at Risk (VAR) and Corporate Risk Management

August 18, 2006
From Associated Content:
 Value-at risk (VAR) is the modern framework for corporate risk management. The VAR value is a statistical risk measure which measures, within a specific confidence level, the maximum potential fluctuations in portfolio value with a given period of time. The VAR is rather different from other conventional methods of risk measurement. This revolutionary approach in investment analysis incorporates facts about the historical volatilities of asset prices and the historical correlation between varied financial products. The VAR was first transformed from a pleasing concept to a practical reality and now, and as mentioned earlier, it has matured enough to become the industry standard for measuring portfolio risks on a daily basis. So much so that the Bank for International Settlements (BIS), the central banks’ central bank, now sets its capital adequacy requirements for market risk in terms of banks’ own VAR estimates.

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Calypso Launches Enterprise Risk Service

July 31, 2006
From GRIDtoday:
 Calypso Technology Inc., a provider of capital markets trading software solutions for global financial institutions, announced the launch of Calypso Enterprise Risk Service (ERS), which provides state-of-the-art risk management capabilities in a module designed specifically for risk controllers and managers.

Risk managers will be able to leverage this new module to monitor and oversee key risk exposures with measures such as Value-at-Risk, stress tests and risk factor sensitivities. Calypso ERS utilizes a service-orientated architecture (SOA), distributes risk simulation analysis over a compute grid and delivers results in a Web browser. This architecture is designed to meet the scalability, extensibility and deployment requirements that leading financial firms need to manage their business.

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Wall Street Harnesses Risk's Rewards

July 31, 2006
From TheStreet.com:
 The trading desks at Goldman Sachs (GS - commentary - Cramer's Take) and Lehman Brothers (LEH - commentary - Cramer's Take) are the champions of Wall Street, getting the most bang for their firms' bucks.

A first-half analysis of earnings results for seven of Wall Street's biggest investment firms finds that the traders at Goldman Sachs and Lehman are most effective in generating big revenue for their employers. The worst, meanwhile, are the proprietary traders at Citigroup (C - commentary - Cramer's Take), JPMorgan Chase (JPM - commentary - Cramer's Take) and Merrill Lynch (MER - commentary - Cramer's Take).

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Reuters's Kondor Value At Risk To Be Used By Emirates Bank - Update

July 10, 2006
From TradingMarkets.com:
 Reuters (RTRSY | charts | news | PowerRating), an online news provider, on Monday said it had signed an agreement with Dubai based Emirates Bank for Reuters Kondor Value at Risk.

Emirates Bank already uses the Reuters Treasury front to back solution Kondor+ and Kondor Trade Processing and is in the final stages of rolling out the Kondor interest rate and liquidity risk module. It also plans to use Kondor Value at Risk to calculate and report cross asset class value-at-risk on their positions held in the Kondor+ system.

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Mastering Your Business: managing value and risk

July 4, 2006
From Citywire:
 To help IFA firms meet their regulatory and commercial objectives, the concept of value and risk management when developing strategy is being increasingly used.

Value and risk management enables organisations to succeed in the delivery of projects by defining their desired outcomes and then exercising processes that maximise value and minimise uncertainty. A successful outcome requires that the value to the business is maximised through delivery of a facility that gives it the benefits it needs at an affordable price, at the time when it needs it and to a quality that fulfils its expectations. It requires that the outcome is clearly defined and communicated to those who deliver it. It also requires effective delivery processes that minimise the impact of the unexpected.

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ASX picks Razor for risk

June 30, 2006
From banking technology:
 The Australian Stock Exchange has chosen Australian technology firm IT&e's Razor platform as its clearing house's risk management system. Razor will provide ASX's counterparty credit and liquidity risk management requirements as the central counterparty to all trades executed on the exchange. ASX was looking for overnight and intra-day risk management, as well as value-at-risk and stress-testing capabilities.

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PRMIA INSTITUTE AWARDS BEST PAPER IN RISK MANAGEMENT AT 2006 FINANCIAL MANAGEMENT ASSOCIATION EUROPEAN CONFERENCE

June 28, 2006
From Bob's Guide:
 The PRMIA Institute today announced that it has awarded a prize for the top paper in risk management at the 2006 Financial Management Association's European Conference.

The winning paper was entitled Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange. Our congratulations go to the authors and award recipients: Georges Dionne, HEC Montreal & CREF, Pierre Duchesne, CREF & Universite de Montreal and Maria Pacurar, HEC Montreal & CREF & Dalhousie University.

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DSTi Risk Solution enables UCITS III compliancy

June 2, 2006
From Bob's Guide:
 DST International (DSTi) – a leading provider of solutions to the international financial services industry - announced today that the DSTi Risk Solution is now fully in line with requirements for UCITS III compliancy, both in terms of measuring risk of securities and portfolios as well as providing the necessary analytics for reporting.

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Inside Wall Street's Culture Of Risk

June 2, 2006
From BusinessWeek Online:
 On the 31st floor of a skyscraper overlooking Times Square one recent spring day, a dozen or so of Lehman Brothers Inc.'s (LEH ) top executives filed into a conference room to run through risks, relive past financial crises, and worry about new ones. They analyzed how much money the firm might lose if the markets were buffeted like they were after the terrorist attacks of 2001. They pored over complicated risk models showing how tens of thousands of trading positions and financial contracts with clients would fare in the event of an Avian flu epidemic. They tested all conceivable scenarios that might put Lehman in harm's way. "We are in the business of risk management 24/7, 365 days a year," says Chief Administrative Officer David Goldfarb.

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Value at Risk: Just Valid Enough to Be Dangerous

May 9, 2006
From Minyanville:
 Value at Risk is a methodology adopted by most of Wall Street (this includes just about every entity such as hedge funds, dealers, pensions, insurance companies, etc. that invest in markets) to evaluate the “riskiness” of their portfolios.

Essentially, if the portfolio is found to have too little risk more risk is taken, especially in this income starved world, in order to generate higher returns. Another way to put that in real world terms is that as long as the risk taken can be documented and rationalized, all is fine.

VAR is inherently flawed as a panacea of risk control. It is a “chicken-before-the-egg problem” first and foremost; secondly, it is linear based which in no way describes market risk or movement (the market did this in the past, so it is likely to do this in the future). VAR of course is “other people’s money” syndrome and therefore eventually their problem.

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Security Risk Analysis

April 21, 2006
From PROCESSOR:
 According to Hedges, an increasing trend borrows from the value-at-risk technique that financial institutions use to measure the likelihood the market value of an asset will decrease over a period of time. Using this technique, enterprises model the uncertainty of a risk-related event and similarly model the exposure caused by the event, such that applied statistics can be used to determine, for example, that 1% of the time, a certain risk will cost the enterprise $2 million. But Hedges says that companies need to determine the amount of downtime that risks can cause and pinpoint a level that’s unacceptable.

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(BW) SolArc RiskCenter Offers Complete View of Physical and Financial Risk Exposure; Includes Credit Risk and Value-at-Risk (VaR) Analytical Tools

February 28, 2006
From The Houston Chronicle:
 Building on its best-of-class capabilities in managing the physical side of energy commodity operations -- deal capture, scheduling, inventory management, pricing, settlement and accounting -- SolArc, Inc., today introduced SolArc RiskCenter, a robust risk management software solution that provides the integrated front-to-back physical and financial risk management capabilities needed in today's volatile, complex markets.

"The ability to deconstruct the market risk associated with each component of a specific commodity's or shipment's value chain is the critical link for producers, traders and end users to have accurate, measurable information to manage their positions, and mitigate unwanted risk," said SolArc's Director of Risk Products, Brian Busch. "With continually updated volumetric and economic analysis of physical and financial values, SolArc RiskCenter provides users with the mark-to-market and profit-and-loss information needed to optimally manage positions, avoid hidden exposures and assess strategic alternatives."

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The alpha in an event

February 9, 2006
From HedgeCo.Net:
 In the hedge fund arena, one quality that managers highlight is their ability to generate alpha. Alpha can be described as the return a manager is able to generate by putting together a portfolio of securities that will outperform the market within a specified time frame. He or she is able to do this by ensuring that this portfolio has little correlation with the overall market. Generating incremental returns above the market while hedging the market exposure, known as beta, is a delicate balancing act that a manager has to carry out. This is even more difficult for managers who employ the event driven strategy.

Event driven hedge fund managers have found that, to deliver positive alpha to their clients, they have to be ready to change their approach to suit the circumstances (this could be the deal or the market), and they need to take fewer positions, control the liquidity of their fund, and, more importantly, play an activist role.

An event may be the issuing of a press release by a company, a company making an earnings announcement, or a political or general world event. Traditionally, event driven hedge fund managers are those who take significant positions in a certain number of companies with ‘special situations’. This could mean companies with distressed stock prices, mergers, takeovers, share buy-backs or capital returns. The objective of the manager is to analyse the effect the corporate action would have on security prices, instead of focusing on the company’s earnings and dividend streams. The hedge fund would normally take a long position on the company being acquired and a short position on the acquirer. Owing to the position they have taken, they are not as sensitive to market movements. They tend to consistently generate high risk-adjusted returns that have little correlation with the market.

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Bank builds grid out of idle PCs

January 31, 2006
From Silicon.com:
 French bank BNP Paribas is saving money by connecting idle desktop PCs into a giant grid to boost its computing capability.

The bank's equity and derivatives division, BNP Paribas Arbitrage, is deploying Platform Computing's Symphony package to make use of the processing power of PCs that sit idle at night.

BNP IT manager Denis Esnault told silicon.com: "It's an economical reason - we have a lot of PCs which are doing nothing during the night. We have this free resource which we can use.

"The price of the [grid software] licence is quite cheap compared to the cost of buying [more] computers. The price is something very important for us - if it's not cheaper there's no economic value to doing it with the PCs."

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State Street teams with Algorithmics for online risk reporting

January 30, 2006
From Finextra:
 State Street Corporation (NYSE:STT), the world's leading provider of services to institutional investors, today announced significant enhancements to its risk reporting services.

State Street, together with Algorithmics, a world leader in enterprise risk management solutions, has developed a comprehensive collection of online risk management, decision-making and investment monitoring tools. These tools will be available to State Street's customers via a single entry point, my.statestreet.com, the company's secure Web-based platform for customer data and applications.

"In a market characterized by increasing regulatory pressures and fiduciary oversight, our customers need unique tools to continually monitor their investment programs," said Joseph Antonellis, chief information officer for State Street. "Through a single, online entry point, our risk reporting solution provides customers with a flexible risk management tool to help evaluate exposures to different investment risks while measuring the effectiveness of their investments."

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Panopticon Revolutionizes Performance and Risk Data

January 26, 2006
From Securities Industry News:
 Panopticon Software, the leading supplier of real-time visualization tools to the financial markets, has launched Panopticon Visual Risk and Performance (VRaP), enabling financial institutions and fund managers to more effectively analyze and act on complex performance and risk data.

VRaP uses Panopticon's proven treemapping technology to create clear, consolidated visual representations of risk and performance data from multiple sources. By adding this sophisticated, intelligent presentation layer, Panopticon VRaP enables institutions to make the most of the information generated by their existing in-house and third-party performance and risk applications.

"Buy-side and investment management firms use a variety of applications to generate their performance and risk information, but the level of reporting they provide requires laborious analysis that can be detrimental to reaction and decision making time," explains Martin Porter, Panopticon business development director. "Panopticon VRaP takes the information they trust from best of breed applications and presents it in a clear, consolidated way, allowing investment and risk professionals to identify and monitor trends more easily and make better informed decisions."

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JPMorgan Chase Still Chasing Trades

January 19, 2006
From Forbes:
 CEO Jamie Dimon is attempting to build a trading business at JPMorgan Chase, but for the last two years, the eye-popping trading revenues scored by rival banks have yet to come his way. The result is a depressed stock price thanks to some serious problems in one small corner of the nation's third-largest full-service bank.

It could be because JPMorgan takes on more trading risk than peers and gets much less to show for the effort, and the problem seems likely to linger for some time. Dimon is determined to bulk up in commodities, asset-backed securities and other areas where the bank has stumbled in recent quarters, arguing that diversifying a trading business traditionally focused on bonds, foreign exchange and stocks will help smooth the volatility.

Investors in JPMorgan stock, however, will just have to hold on. The extreme trading volatility at JPMorgan--the company can score record profits one quarter and then flub the next quarter--has been an albatross on its stock performance, which though improving at the latter half of last year, still lingers in the high-$30 range, about where it was trading in March 2004.

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See also: Value-at-Risk Related Books, Value-at-Risk Related Scholarly Papers, or Value-at-Risk Home Page.
 
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