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...
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...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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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,...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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