Market risk
Component VAR for a non-normal world
It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. Brian Peterson and Kris Boudt present a…
Pushed to the limit
Stress testing
Quant Congress Europe: VAR models still essential
Despite criticism over the accuracy of value-at-risk models through the financial crisis, chief risk officers speaking at Quant Congress Europe said they were still invaluable.
Hedge funds harness volatility in turbulent markets
Trading volatility can help hedge funds to diversify their portfolios and generate alpha in a challenging market. Kris Devasabai and Stephen Quigley report on the strategies employed by volatility traders and its emergence as an asset class
Hedge fund industry looks set to grow as Benelux improves regulations and laws
While the Benelux union of Belgium, the Netherlands and Luxembourg does not offer a common solution for hedge fund marketing or establishment, there are opportunities to attract investment to funds and expand the industry. Jamie Wynn-Williams reports
Shipping fund tames stormy waters to provide rewards for investors
The success of M2M Management is challenging long-held preconceptions about investing in the volatile shipping market. US Editor Kris Devasabai talks to the company's joint managing directors about its extensive experience and its investment strategy
Remodelling required?
Economic capital
Component VAR for a non-normal world
Market Risk
Pushed to the limit
Stress Testing
Long-term sources of return in commodity futures markets from the grain markets
By Hilary Till, research associate, EDHEC Risk and Asset Management Research Centre, and principal, Premia Capital Management
Incubation seeds early-stage high performers
family office summit: alternative investments
Focus on regional strategies brings value for investment managers
Following a strategy focused on a specific region gives managers a chance to concentrate on a specific universe of investment opportunities that can bring good returns for portfolios. Stephen Quigley and Jamie Wynn-Williams talk to managers running funds…
Flight to qualitative
Risk Management
Learning from subprime
Opinion
Incremental concerns
Basel II
Stress testing next on the agenda for Basel Committee
With the need for more qualitative assessments of risk becoming ever more paramount in the wake of the credit crisis, the Basel Committee for Banking Supervision is working on a consultation paper on stress testing.
Valid Assumptions Required: backtesting
Given the large number of assumptions made in calculating a value-at-risk, how can we have confidence in the quality of the resulting calculation? Brett Humphreys looks at using backtesting to evaluate quality.
Niche hedge funds see opportunities
Trade Finance
Operational risk concerns concentrate on due diligence
Operational Risk