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Risk magazine

Operational VAR: meaningful means

Making the assumption that the distribution of operational loss severity has finite mean, Klaus Böcker and Jacob Sprittulla suggest a refined version of the analytical operational value-at-risk theorem derived in Böcker & Klüppelberg (2005), which…

A telling scope

The number of technical articles submitted each year to Risk has stabilised at around 90, and a high proportion of them are still about credit derivatives and credit portfolio risk analysis. In fact, in our Cutting Edge pages and behind the scenes we…

The saddlepoint method and portfolio optionalities

Richard Martin describes the application of saddlepoint methods to the calculation of tranche payouts and expected shortfall in loss distributions. Aside from computational use in their own right, the resulting formulas motivate a forthcoming discussion…

Maximum draw-down and directional trading

Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading

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