Implementation of enterprise-wide VAR models in the 1990s was an important risk management advance, but it's time to rethink some fundamental aspects of how they were designed, argues David Rowe
John D'Agostino, former founding partner and chief operating officer of MotherRock, a Houston-based hedge fund that closed in August, and currently chief executive of New York-based consultancy Dagger, emphasised the difficulties in determining the proper...
Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models
How is risk management viewed in your company? Are there risks you would like to measure but don’t? Which methodologies are most commonly used? What should the discipline tackle next? Energy Risks’ survey reveals recent trends in risk management.
Copernico is among South America's better-known hedge funds. Ricardo Maxit, Copernico's CIO tells David Walker how the firm's two main funds work
US Gas Distribution Companies, long experienced in managing volumetric risk, now face market risk, high commodity prices and credit risk. Matthew Frye looks at strategies to model these risks in aggregate
How is risk management viewed in your company? Are there risks you would like to measure but don''t? Which methodologies are most commonly used? What should the discipline tackle next? Our latest survey reveals all
Cover Story: Practitioner profile
Regulators may be pressing banks to more rigorously stress test their portfolios, but when it comes to how hedge funds apply the technique, debate remains as to how and what they should be testing. John Ferry reports