Risk management
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...
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...
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...
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.
More Risk management articles
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...
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...
FSA announces final plans for Libor reform
Administrator forced to manage conflicts of interest
Double trouble: UK banks face threat of twin ringfences
The post-crisis years have been punctuated by calls for big banks to be broken up. Nothing quite that dramatic is happening, but ring-fencing proposals in Europe – and a de facto fence around foreign banks in the US – are nudging the industry towards...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
Related conferences
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What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
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Quant Congress USA
USA, 17th - 19th Jul 2013
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Liquidity and Funding Risk
UK, 24th - 25th Sep 2013
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The OTC Derivatives Markets Conference
UK, 26th Sep 2013
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Risk USA
USA, 21st - 24th Oct 2013
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Nexus-Risk Training
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Managing Risks in Foreign Exchange
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Selecting and Designing Effective KRIs
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Enterprise Risk Management Techniques and Practices
Singapore, 29th - 30th Jul 2013
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Enterprise Risk Management Techniques and Practices
USA, 5th - 7th Aug 2013
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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.
- Finding the Right Path to Hedge Accounting
- Don’t get left behind – how financial services need to consider their IT infrastructure
- Rebuilding Customer Trust in Retail Banking
- How customer-centric transformation can lead to an increase in revenue and streamline operations
- Anti-Money Laundering when transaction monitoring is not sufficient
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