The aim of this paper is to develop an alternative model for portfolio credit risk to those widely used: CreditRiskC and CreditMetrics. The model aspires to patch the usual weak spots of portfolio credit...
Pay packets up in 2014 as average hedge fund returns 3%
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Portfolio articles
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 ...
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
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.