This paper revisits the properties of risk measures and checks VaR, ES and expectiles with regard to whether or not they enjoy these properties.
Meucci, Santangelo and Deguest introduce a risk decomposition method based on minimum-torsion bets
Yale duo’s theories have little in common with experience of real investors
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Isda AGM: Proposed trading book rules are “nuts”, says Ramambason of BNP Paribas
ABSTRACT In this paper, we construct a structural model of credit risk in order to examine how different magnitudes of exogenous shocks to bank loans propagate across the network. We also examine how...
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Hedging threatened by treatment of liquidity and diversification, critics claim
In this study of five developed markets, we analyze the sizes of portfolios required to achieve the most diversification benefits. We compute several widely accepted measures of risk and use an extreme...
Firms consider risk sharing arrangements and changes to product mix
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.