Level 3 committee starts public consultation on its technical approach to diversification of internal models
More Diversification articles
Philippe Jorion This issue of the Journal of Risk marks the fifth year of publication of the journal. The journal is making good progress in its mission to disseminate academic and practitioner research into financial risk management. It has benefited...
How should capital be allocated to different business lines in a financial institution? Thomas Wilson explores this question from an investor’s perspective by constructing a statistical model that measures the risk of individual business types. The...
Philippe Jorion University of California at Irvine This issue of the Journal of Risk illustrates the breadth of topics that fall under the general heading of market risk management. This includes value-at-risk (VAR) decomposition, distribution forecasts,...
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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