The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas ...
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Correlation articles
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Idea that bank retreat loosens correlation ‘doesn’t make any sense’
Equity-linked underlyings moving to Euro Stoxx 50
This paper examines the dynamic linkages in credit risk between the money market and the derivatives market during 2004-9. We use the T-bill-Eurodollar (TED) spread to measure credit risk in the money...
Emphasise the positive
The DGAM Unique Strategies, named best specialist fund of hedge funds over three years at the Americas Awards 2013, seeks real diversification in complex and unusual hedge fund strategies
Rethinking risk and return
A fall in asset-to-asset correlations could mean a good year for many hedge fund strategies, even though volatility is expected to remain relatively low, according to research from Axioma
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy ...
Analysis from JP Morgan shows strong relationship between intra-stock correlation and equity long/short hedge fund returns
The tight link between commodities and equities is easing as firms become less worried about macro shocks, say analysts
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.