The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Different approaches taken by regulators and risk managers are justified, according the SEC’s Gregg Berman
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
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A cash injection into RiskMetrics Group of $122 million by private equity investors last month was the largest venture capital deal of the second quarter.
RiskMetrics' head of quantitative research, Allan Malz, has left to join New York investment company the Clinton Group, said a RiskMetrics spokesman.
New York-based risk technology vendor RiskMetrics has acquired Arrakis, the technology platform developed by JP Morgan’s Private Banking Group in 1999 to support the bank’s online site for clien...
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.