GAM portfolio construction offers alternative to backward-looking methods
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This paper quantifies and explains the valuation differences between credit default swaps (CDSs) and corporate bonds from a sample of European investment-grade firms. Based on all information gained through...
The predictability of the equity risk premium is a central and controversial issue in finance. The risk premium factor model is a recent and novel approach to forecasting the equity risk premium and the...
Qantas Airways’ head of risk believes the company could take more risks within its hedging programme
Standard & Poor's has launched four indexes to measure risk premiums, which have gained a lot of interest from product providers.
Philippe Jorion University of California at Irvine Like the previous issue, this issue of The Journal of Risk reflects current developments in credit risk, with three papers on credit risk. The fourth...
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.