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More on Risk Management
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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Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
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