Market risk
Cracking VAR with kernels
Value-at-risk analysis has become a key measure of portfolio risk in recent years, but how can we calculate the contribution of some portfolio component? Eduardo Epperlein and Alan Smillie show how kernel estimators can be used to provide a fast,…
Into the tempest
Natural catastrophe risk models suggest that insurers are significantly under-capitalised. Firms are tapping the capital markets for billions of dollars in additional reinsurance capacity, but it may not be enough to avoid damaging rating downgrades…
Taking exception
Value-at-risk
Market-neutral weathers the worst of May
equity market-neutral
Valid Assumptions Required: Historical Simulation VaR
Brett Humphreys discusses the assumptions underlying the calculation of a VAR using the historical simulation methodology.
VAR breakdown
Risk Management
Risk at the margin
Portfolio Margining
VAR provides inadequate figures, according to CRO
Value-at-risk provides inherently flawed results, according to Kenneth Winston, the global chief risk officer of Morgan Stanley.
Core and satellite for hedge funds, part II
academic paper
Looking before you leap
analysis: algorithmic trading and it
"Let them eat cake," say investorsHSBC GH fund of funds turns 10
GH Fund's managers and investors have not suffered from the law of diminishing returns as HSBC Republic's GH Fund has grown to $1.3bn
Valid Assumptions Required: examining forward curve assumptions
Brett Humphreys and Eric Raleigh review assumptions about the forward curve and the difference between relative and absolute dates.
Women in credit
Credit magazine profiles 50 top-achievers working in the global credit markets today
Internal affairs
Basel II
Making money in troubled times
world view
Bringing core and satellite approaches to hedge funds
academic paper
The risk of risk/return
patrick de gentile williams
Key's home-ground advantage
Key Asset Management's funds of hedge funds have generated healthy returns, satisfied investors and, in the case of Key Recovery, won Hedge Funds Review's award for the best performing specialist FoHF over three years, on a risk-adjusted basis. David…
Mezzanine market takes off
high yield/mezzanine debt
Optimising hedging
Corporate profile
Valid Assumptions Required: confidence level and holding period
In the second article of his series, Brett Humphreys examines the assumptions associated with selecting a confidence level and a holding period for a VaR calculation
Banks get stressed
The UK's Financial Services Authority has called on banks to improve stress testing of possible disruptive events, while the Basel Committee declared last year that firms must supplement their value-at-risk models with stress tests. But some bankers…
Focusing on framework
special report: luxembourg