Market risk
Cognitive excellence and subtle insight
Copernico is among South America's better-known hedge funds. Ricardo Maxit, Copernico's CIO tells David Walker how the firm's two main funds work
Risk management for LDCs
US Gas Distribution Companies, long experienced in managing volumetric risk, now face market risk, high commodity prices and credit risk. Matthew Frye looks at strategies to model these risks in aggregate
Surveying risk management
How is risk management viewed in your company? Are there risks you would like to measure but don''t? Which methodologies are most commonly used? What should the discipline tackle next? Our latest survey reveals all
A tale of two cities
Cover Story: Practitioner profile
Korea and Singapore set the pace
Basel II
A successor to VAR?
Regulators may be pressing banks to more rigorously stress test their portfolios, but when it comes to how hedge funds apply the technique, debate remains as to how and what they should be testing. John Ferry reports
The difficulty of direct investing in hedge funds
academic paper
Merrills sets sail for ever-expanding horizons
prime broking
More than just an academic interest...
private equity from universities
A successor to VAR?
Strees Testing
Integrated data management for commodities
Asset Control
Top dealers slash equity exposures in Q2
The majority of the world’s largest market risk-takers slashed their equity market exposures during the second quarter of 2006, as they responded forcefully to sharp spikes in equity volatility in late May and early June.
Taking good care of investors' money
CARE Capital Group's CARE Offshore fund of hedge funds has produced 14.55% net annualised returns since inception. David Walker found out how
Core and satellite for hedge funds, part III
academic paper
Family fortunes, spanning the globe
family office investment club
Spreading the risk
Risk Management
Valid Assumptions Required: Volatility
Brett Humphreys reviews the assumptions associated with calculating volatility based on historical data.
Forward thinking for backwardation
In certain settings it's reasonable to assume that the current futures price embodies the market expectations of the spot price. However, as Gary Dorris, Sean Burrows and Vena Kostroun explain, there are distinct situations when this assumption does not…
Jaime Roman, risk managing director, Endesa, Spain
Jaime Roman is chief financial officer and risk managing director at Spanish utility Endesa. Holding a PhD in Electrical Engineering, he was in academia before being approached to join Endesa in 1997