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...
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
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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...
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
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,...
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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