Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
An underrating of the chances of tail-risk events occurring by standard risk models means hedging against extreme events in the equity market is underpriced, according to Danish pension fund ATP's chief...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Correlation articles
Have traditional energy market correlations changed permanently as a result of the credit bubble bursting and how will this impact trends in price forecasting and modelling? Pauline McCallion reports
Volatile and uncertain markets have got investors thinking about diversified exposures to multiple asset classes both as yield generating opportunities and portfolio hedges. Hybrid structures, which blend discrete asset exposures into one pay-off, are...
Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for...
In this 10-part series, Brett Humphreys takes a fresh look at the widely used risk measure value-at-risk (VaR), urging risk managers to be more aware of the many assumptions that go into the calculation to produce the VaR number.
Structured products have been used as a scapegoat for some of the problems that led to the financial crisis. But Cater Allen, the UK private banking arm of Santander, says transparent products can regain investors’ confidence. Clare Dickinson reports...
Adjoint methods have recently been proposed as an efficient way to calculate risk through Monte Carlo simulation. Luca Capriotti and Mike Giles extend these ideas and show how adjoint algorithmic differentiation allows for fast calculation of price sensitivities...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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