Many firms now use Value-at-Risk (“VaR”) for risk reporting. Banks need VaR to report regulatory capital usage under the Market Risk Rule, as outlined in the Fed and OCC regulations  and . Additionally, hedge funds now use VaR to report a unified risk measure across multiple asset classes. There are multiple approaches to VaR, so which method should we choose? In this brief paper, we outline a case for full revaluation VaR in contrast to a simulated VaR using a “delta-gamma” approach to value assets.
As part of the ongoing support for their credit risk transfer program, in March 2016 Freddie Mac released updated single family loan-level data containing origination and performance records on 21.8 million loans originated between January 1999 and March 2015. Using RiskSpan’s data discovery tool, RS Edge, the origination characteristics of the loans originated from 1999 to 2014 were analyzed.
There is movement in the vendor market for Risk Analytics. Barclays is divesting its POINT risk analytics system and Capital IQ has exited the risk business. These changes have prompted the market to consider vendor alternatives and the timing for a fresh look at solutions couldn’t be better.
The regulatory environment persists. There is a constant stream of demand from investors and regulators for independent risk analysis and reporting. Further, the emergence of new data management tools and the declining cost of cloud-managed hardware presents the market with an opportunity to scale data processing and reduce costs.