Risk management solutions
Innovative software solutions for credit strategies are a challenge. IT companies offer a plethora of solutions for an environment that lacks standardisation and needs a high degree of automation. Jamie Wynn-Williams reports
A delta-normal value-at-risk is one of the basic tools of risk management. Brett Humphreys discusses the assumptions associated with this calculation.
Last in the series by Walter Gehin of Edhec
Value at risk
Special Report: Corporate profile
With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models' adequacy. Carsten S Wehn proposes a new regime of back testing, combining state-of-the-art methodologies...
Correlation measures are major drivers of value-at-risk. Brett Humphreys and Eric Raleigh review assumptions associated with calculating correlation.