The susceptibility of enterprise risk tools to poor quality data is a major issue
This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification.
US shale drillers expected to suffer as hedges expire in the second half of 2015
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ARP Investments offers cut-price exposure to popular hedge fund strategies
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Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia ...
A well-diversified portfolio could be better for controlling risk than volatility investments, according to members of the family office industry.
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.