Portfolio
Asset allocation with conditional value-at-risk budgets
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...
Zurich's chief risk officer for general insurance, Steve Wilson, talks about why quantifying op risk is so important
The risks faced by energy/commodity firms need to be assessed via metrics that allow for longer-term outlooks and incorporate risks from asset-backed trading. In the second article in this series, Chris...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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Analytical risk contributions for non-linear portfolios
The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution’s dependence on risk factors. Using the classical Cornish-Fisher expansion, Helmut Lutz and Carsten Wehn derive analytical formulas for risk contributions...
Cutting edge introduction
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods –...
Valuing wind power: IPR-GDF Suez's Rajan
Karthik Rajan, senior director, strategy portfolio and risk management group at IPR-GDF Suez North America, discusses how elements of commodity risk management can be integrated into the valuation of long-term wind power portfolios
Journal of Risk Volume 5 / Number 2, Winter 2002/03
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,...
Portfolio
The collective term for an owner’s holdings of assets, liabilities, transactions and/or trades.
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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