Market risk
VAR exceptions reflect volatile season
Investment banks reported increased numbers of high trading losses in the third quarter of this year, highlighting the volatility in the financial markets and casting doubt on their risk modelling.
Commodities as an asset class
commodities
Upended by downgrades
Collateralised commodity obligations
Afores to the fore
Pensions
Plugging the data gaps
Technology
Not stressed enough
Stress testing
Not stressed enough
Stress testing
Overrated regulation
Risk management
Cutting the Gordian knot
Basel II remains wedded to incremental extensions to the market risk rules. It is time for a bolder approach in this area, argues David Rowe
Portfolio optimisation in a Solvency II world
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The leaders of the pack!
family office leadership summit
A finely measured performance - beyond the Sharpe ratio...
academic paper
Old hands, steady heads
Mustafa Jama joined Morgan Stanley's FoHF team as CIO four years ago – and tells Solomon Teague there are not that many houses whose engagement with hedge funds stretches back 16 years
Berating agencies
Rating Agencies
Not stressed enough
Stress Testing
Quants' tail of woe
Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…
Which way is up? - measuring performance
academic paper
The best-laid plans ..
Strategic Risk
Berating agencies
Rating Agencies
Berating agencies
Rising delinquencies in the US subprime mortgage sector have triggered a flood of downgrades by credit rating agencies. As a result, confidence in ratings has been shaken, and they have come under fire from investors and regulators. Is the criticism…
Lagging risk management
The rate of growth in the complexity of new derivatives products is causing a worrisome lag in risk management's ability to keep pace. As credit derivatives markets endure a period of stress, this lag could have serious consequences, argues David Rowe
Barcap increases commodities appetite
Investment bank Barclays Capital has sharply increased its appetite for risk-taking in the first half of 2007, with all the new risk being taken in the commodities segment, according to Barcap reports.
The magic of macro...
While getting the strategy and manager mix right may be the 'visible' end of a successful fund of hedge funds house, Permal's Omar Kodmani explains to Solomon Teague advances, such as those in technology are also allowing the $35bn London house to…