Shortfall: who contributes and how much?

The properties and analytical derivation of risk measures and their sensitivities to asset allocations is now established as an important issue for portfolio management and optimisation. This is particularly so for credit portfolios, where the risk is highly asymmetrical (Artzner et al, 1999, Gouriéroux, Laurent & Scaillet, 2000, Martin, 2004, Martin, Thompson & Browne, 2001, Martin & Ordovás, 2006).

Shortfall: who contributes and how much?

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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