In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
The Omega ratio is a recent performance measure. It captures both the downside and upside potentials of the constructed portfolio, while remaining consistent with utility maximization. In this paper, a...
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and...
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Given a finite set of m scenarios, computing a portfolio with the minimum value-at-risk (VaR) is computationally difficult: the portfolio VaR function is nonconvex, nonsmooth and has many local minimums. Instead of formulating an n-asset optimal VaR portfolio...
In this sponsored Q&A, François Bocqueraz talks about his experiences conducting operational due diligence and manager selection for Amundi Alternative Investments, focusing on the changes the Alternative Investment Fund Managers Directive will bring...
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
The coherent risk measure expected shortfall is a popular alternative to value-at-risk. However, the estimated value may miscommunicate the actual risk, especially when huge losses are present in the return series. This may force the financial institution...
Unlike returns and most other metrics in use in financial services, portfolio risk is not the sum of the risks of its parts. What is needed is a clear and compact system to show how risk behaves
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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