Investing on the basis of risk premia rather than asset class performance is being embraced by pension funds, sovereign wealth funds and other institutional investors. The trend is especially popular among...
Equity-linked underlyings moving to Euro Stoxx 50
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
More Correlation articles
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 market and the credit default swap (CDS) index spread...
Decreasing correlations have a positive effect on portfolio risk. When market correlations shift in magnitude or reverse, it can be tricky to understand how changing risk levels relate to a portfolio
Hedge funds should market themselves as having both alpha-generating potential as well as a better risk profile than equities or bonds while being uncorrelated to both
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
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option...
A ‘required return’ framework is a useful tool for managing diversified hedge fund portfolios
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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