Measuring the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. Value-at-risk (VaR) contributions and expected shortfall (ES)...
This paper derives a model for analyzing the performance and risk of algorithmic investment strategies that invest in a mixed portfolio of equities and in the money market, based on a frequent rebalancing...
More Risk management articles
The authors consider a general calibration problem for derivative pricing models, which they reformulate into a Bayesian framework to attain posterior distributions for model parameters. They then show how the posterior distribution can be used to estimate...
Paradigm Capital Management had an ineffective conflict resolution committee, which meant that the conflict of interest at the heart of the SEC's whistleblower retaliation case was not investigated properly, legal expert says
Eurex is trying to steal business from the market’s dominant interest rate swap clearer, LCH.Clearnet. The pitch: it is less risky and therefore cheaper in terms of capital and margin. Some dealers are starting to pay attention, but others say recent...
Fatca withholding agents will not be effective without a vital document that is yet to be published, with only five days to go before deadline hits
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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