Risk management
Latest Issue: Volume 9/Number 1, Spring 2013
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market...
This paper expands upon "Toward Maximum Diversification", a 2008 paper by Choueifaty and Coignard (Journal of Portfolio Management 35(1), 40-51). We present new mathematical properties of the diversification...
Risk-only investment strategies have been growing in popularity as traditional investment strategies have fallen short of return targets over the last decade. However, risk-based investors should be aware...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Risk management articles
The alpha alignment factor: a solution to the underestimation of risk...
A common criticism of risk models is that they have a tendency to underestimate the risk associated with optimized portfolios. Quantitative portfolio managers have historically used a variety of ad hoc techniques to overcome this issue in their investment...
Time-bridge estimators of integrated variance
We present a set of log-price integrated variance estimators, equal to the sum of open-high-low-close bridge estimators of spot variances within n subsequent time-step intervals. The main purpose of some of the introduced estimators is to take into account...
Dynamic option-based strategies under downside loss aversion
Dynamic option-based investment strategies are derived and discussed for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market is characterized by stochastic volatility and jumps. The expected shortfall...
On the reliability of integrated risk measurement in practice
For a correct aggregation of losses resulting from different risk types and, hence, a correct computation of total economic capital requirements, existing stochastic dependencies between risk-specific losses have to be considered by integrated risk measurement...
Asset allocation with conditional value-at-risk budgets
Risk budgets are frequently used to allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation use ex post methods for constructing risk budgets...
Latest Issue: Volume 2/Number 2, Spring 2013
Welcome to the spring 2013 issue of The Journal of Investment Strategies. You will find four papers in this issue: three research papers and one in the Investment Strategy Forum section. The research papers cover topics from high-frequency trading to...
Latest Issue: Volume 15/Number 3, Spring 2013
Farid AitSahlia Warrington College of Business Administration, University of Florida The twin objectives of risk diversification and expected return maximization are essential to portfolio efficiency. However, what constitutes an appropriate measure...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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