Active portfolio management
Alternatively weighted risk premium indexes gain momentum
Published online only
Source: Structured Products
Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Original headline:
Source: Risk magazine
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn...
Original headline:
Source: Risk magazine
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and...
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Video: What is the future for actively managed ETFs?
Published online only
Source: Structured Products
"What is the future for actively managed ETFs?" is the fifth question in a series of videos from Structured Products magazine that address the development of the market for exchange-traded funds
A new breed of copulas for risk and portfolio management
Original headline:
Source: Risk magazine
Attilio Meucci introduces the copula-marginal algorithm, a commercially viable technique to dramatically expand the types and uses of copulas in financial applications
CPM functions go back to basics
Original headline:
Source: Risk magazine
The crisis has made it more difficult for credit portfolio management desks to manage loan portfolios by transferring risk. Instead, there’s a growing focus on old-fashioned virtues. Mark Pengelly reports
FSA considers increased regulation for exchange-traded products
Published online only
Source: Structured Products
The UK's financial regulator is considering strengthening its regulation of all kinds of exchange-traded products because of their increasing complexity
Aviva announces new global aggregate portfolio head
Original headline:
Source: Credit
Dan James joins from Fischer Francis Trees & Watts.
BlackRock loses Marais
Original headline:
Source: Credit
Nicolaas Marais to join Schroders.
Shortfall factor contributions
Original headline:
Source: Risk magazine
The risk contribution of a position is the sensitivity of risk to a fractional change in the position. By the Euler formula, the risk contributions add up to the portfolio risk. However, if one wants the contribution of a general ‘risk factor’ to...
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