This paper investigates a practical and fast analytic framework for portfolio modeling and tail risk allocation using Hermite polynomials.
Mixing, not scaling, best approach for using external losses
Tail-risk skewness, rather than volatility, is correlated with risk premiums
BNP Paribas and BTMU tout ‘scalable’ stress testing
Market shocks are earthquakes, not a game of roulette
Trading portfolios are easily mishandled, as are Europe's economies
Low leverage this time should result in milder correction than 2008/9
Biggest 30 would lose 4.6% in one month
A well-diversified portfolio could be better for controlling risk than volatility investments, according to members of the family office industry.
Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe
Stress testing is a vital part of successful risk management, but risk managers at energy trading firms frequently face obstacles in designing and implementing successful stress testing programmes. In this article, Carlos Blanco provides some advice on...
ORX chairman says Basel II definition is fundamentally flawed
Chasing the tail
Research on how investors are protecting themselves from tail risk events shows a preference for managed futures/CTAs. There is also reluctance to use single hedge fund strategies as protection.
Structured Products Asia Awards 2012
Investors and hedge fund managers are trying to find effective and cost-efficient ways to tackle tail risk. One way to hedge this risk is through long-dated options, because they offer convexity.
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled....