We present an extension of the Johansen-Ledoit-Sornette (JLS) model that includes an additional pricing factor called the "Zipf factor", which describes the diversification risk of the stock market portfolio....
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Diversification articles
Life insurers and pension funds have been using commodities as a portfolio diversifier for years. Blake Evans-Pritchard reports on how the asset class is evolving
Fund of hedge funds (FoHF) portfolios with more than 25 underlying managers have weaker performance and increased tail risk, according to research from New York University's Stern School of Business
Dividend structures such as reverse convertibles and autocallables have seen demand take a big hit amid the decline in equity markets. With fewer of these products being sold, long dividend exposure is now well below the risk appetite of most banks. Magda...
Tobam's analysis of financial markets diversification suggests that eurozone indexes might not be as diversified as investors believe
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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