Volume 8, Issue 2 (2014)
Volume 17, Issue 4 (2014)
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 ...
More Portfolio articles
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....
Sponsored Q&A: Amundi Alternative Investments
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...
Latest EY risk management survey finds risk culture questions remain
Risk budgets are frequently used to allocate the risk of a portfolio by decomposing the total portfolio risk into the risk contribution of each component position. Many approaches to portfolio allocation...
Why we quantify
Finding the best approach
Analytical risk contributions for non-linear portfolios
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...
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.