How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
In this paper, the author determines an optimal value for a set of limits composed of the lower limit on TEV, the upper limit on TEV and the upper limit on VaR.
Commission expected to ease pressure of liquidity ratio on derivatives positions when it unveils CRD V proposals
Commonly-used VAR estimation method shown to underestimate risk
David Frank proposes an adjustment to sample variance for the computation of value-at-risk
In this paper, the authors examine the relationship between capital allocation problems and compositional data, and show that capital allocation principles can be interpreted as compositions.
Complex, long-term supply deals present job opportunity for risk managers
Sponsored by Oracle, Moody's Analytics and AxiomSL
The papers in this issue focus on modeling dependence via copulas and on identifying independent risk factors for better portfolio risk attribution. An extension of a classical portfolio selection problem and an approach to compare mutual funds are also...
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Buy-siders need to plug changes into VAR, say risk managers
Jodi Richard explains overhaul of firm’s op risk programme, including crisis management plans
The US banking supervisor has been taking a leaf out of banks’ books and putting the focus on enterprise risk management
Wave of organisational change at major banks heightens operational risk exposure
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Experts call for a rethink on setting scenarios for future tests
Sponsored Q&A: Numerix
Separation "theoretically perfect" but "practically, hugely flawed" says UBS's Hunt
The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives.
This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
Ex-Barclays chairman says managers should take “stewardship responsibility” for bank conduct
Sponsored survey analysis: Wolters Kluwer
Banks and regulators increasingly concerned amid high-profile cyber security breaches