Risk factor returns
Analytical risk contributions for non-linear portfolios
Original headline:
Source: Risk magazine
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...
Original headline:
Source: Risk magazine
Modelling event risk is an important challenge faced by many institutions because of new regulations. Annabelle Kehl, Melanie Frick and Carsten Wehn develop an innovative approach, including sector- and...
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More Risk factor returns articles
Factors on demand
Published online only
Source: Life & Pension Risk
Linear factor models are commonly used by portfolio managers to capture sources of risk, traditionally split between systematic and idiosyncratic types. By using the conditional link between flexible bottom-up estimation, and top-down attribution, factor...
Factors on demand
Published online only
Source: Risk magazine
Attilio Meucci introduces a multi-asset-class return decomposition framework that extends beyond the standard systematic-plus-idiosyncratic approach. This framework, which rests on the conditional link between flexible bottom-up estimation factor models...
Component proponents II
Published online only
Source: Risk magazine
Christophe Pérignon and Christophe Villa propose a novel method of extracting the risk factors driving interest rates that allows both the covariance matrix of interest rates and the variances of the risk factors to vary through time. To illustrate the...
VAR for fund managers
Original headline:
Source: Risk magazine
The buy-side is waking up to risk management, and techniques originally developedfor trading desks are finding a new audience. In the first of two themed articles,Stephen Rees argues that the traditional buy-side risk management tool, trackingerror, should...
Landesbanken's operational risk management tool
Published online only
Source: Operational Risk & Regulation
Many German banks lag behind their peers when it comes to operational risk management. The proposed new international bank capital accord, Basel II, which - for the first time - stipulates a separate capital charge for operational risk, has put the topic...
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