Risk management
Deriving consensus ratings of the big three rating agencies
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given...
Welcome to Volume 16, Issue 3 of The Journal of Computational Finance. In this issue we present 4 research papers: 'Numerical methods for an optimal order execution problem' by Fabien Guilbaud, Mohamed...
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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
High-frequency trading and long-term investors: a view from the buy...
With the proliferation of high-frequency trading (HFT), understanding the effects of HFT on market quality and the opportunities that HFT creates for long-term (LT) investors is important in building an efficient regulatory framework. This paper demonstrates...
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 value of firm and recovery rate", is by Min Qi...
Properties of the most diversified portfolio
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 ratio and most diversified portfolio (MDP),...
Risk without return
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 of four things. First, theoretical considerations...
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...
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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Risk OTC Derivatives Clearing Summit
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Quant Congress Europe
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Risk and Return Brasil - Portuguese
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What’s next for fixed-income ETFs and structured products?
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Managing Risks in Foreign Exchange
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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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