More Volatility articles
Tobam's analysis of financial markets diversification suggests that eurozone indexes might not be as diversified as investors believe
Using options to improve portfolio risk/returns
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
Value-at-risk (VaR) is increasingly replacing volatility as the main measure of risk. In this paper, we investigate the consequences when VaR is used as the relevant risk constraint in portfolio optimization....
Financial market volatility is at an all-time low due to improvements in the functioning and structure of global financial markets, increased liquidity and better communication between central banks...
Philippe Jorion University of California at Irvine This issue of the Journal of Risk illustrates the breadth of topics that fall under the general heading of market risk management. This includes value-at-risk...
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.