Portfolio modelling
Need for speed: banks explore FPGAs for portfolio modelling
Original headline:
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but quick – field-programmable gate arrays. By Clive...
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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...
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The crisis has made it more difficult for credit portfolio management desks to manage loan portfolios by transferring risk. Instead, there’s a growing focus on old-fashioned virtues. Mark Pengelly reports...
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More Portfolio modelling articles
Myron Scholes predicts 'golden age' for quants
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Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
State Street advises institutional investors to move away from modern...
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New report suggests investors should move away from using normal return distributions under modern portfolio theory
Component VAR for a non-normal world
Original headline:
It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a method...
Upstream sector gets flexible
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The oil exploration and production sector is transforming its thinking and trying to become more flexible by using portfolio management models, finds Maria Kielmas
Crossing the frontier
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Classical portfolio theory uses the mean-variance framework to derive an optimal portfolioallocation. For non-normally distributed losses, this is inadequate and VAR is often used tomeasure risk and set bank capital. However, VAR has hitherto been analytically...
Standard & Poor's enters portfolio risk modelling
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Standard & Poor's (S&P) Risk Solutions has launched a portfolio risk tracker model. The model covers both credit and market risk, which should allow banks to calculate their economic capital and perform risk assessments across the full range of risks...
Credit ensemble
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Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional...
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