Technical papers / Risk magazine
Models that describe wrong-way risk should move away from simplistic copula models, critics say.
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Technical papers / Risk magazine articles
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a...
New set-up allows fast, tractable optimisation of trade execution, without neglecting downside risk
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia ...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.