In its drive to widen its operational risk loss data capture, ORX has selected IBM and OpenPages' web-enabled systemZURICH - The operational risk loss data consortium for the financial services industry Operational Riskdata eXchange Association (ORX), has selected IBM and OpenPages to help transform and web-enable its operational risk loss data capture and analytic capabilities.
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We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) and monotone mean-variance....
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts. We study capital allocation...
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion...
This paper proposes a formula for a market stress test of a portfolio. The formula is motivated by some recent and some old developments in random matrix theory and a requirement that it be explicitly...
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