In this paper, we aim to bring together into one common framework various advances in factor-based hedge fund replication. Our replication methodology relies on a set of investable dynamic risk factors...
Arthur M. Berd General Quantitative LLC Welcome to the first issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers, covering investment performance...
US regulator is responsible for signing off models used for regulatory capital purposes
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Validation articles
Over the past 20 years, financial modelling increased in complexity to better describe complex market behaviours and allow market-makers to stay competitive in a maturing world. This maturity led, for example, to the proper handling of volatility surfaces...
With Solvency II fast approaching, obtaining approval for your internal model is increasingly important. A key part of this process will be to demonstrate the ability of the model’s scenario generation to describe the evolution of interest rates plausibly....
Welcome to Volume 9 Issue 4 of The Journal of Risk. This issue is made up of 4 technical papers: This issue contains papers that deal mostly with risk model validation from both empirical and theoretical perspectives. Peter Winker and Dietmar Maringer...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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