Technical paper
Fund performance raises specific issues
Unlike the returns of common stocks and mutual funds, hedge fund returns are generally not normally distributed.1,i This has considerable consequences on a number of hedge fund risk measures, as presented in last month’s article, which was drawn from the…
A rotationally invariant technique for rare event simulation
Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-risk of a credit-risky portfolio requires many simulations. Here, Susanne Klöppel, Ranja Reda and Walter Schachermayer demonstrate a geometrically…
Cutting edge: Visualising value-at-risk
Risk transparency is an important yet elusive goal of any risk management process. One challenge is to understand the diversification effects of the portfolio elements. Wentao Zhao and Kevin Kindall introduce a graphical technique based on value-at-risk…
Shortfall: who contributes and how much?
Understanding risk contributions is a key part of successful risk management and portfolio optimisation. Richard Martin extends the discussion from value-at-risk to expected shortfall and shows that saddlepoint approximation preserves the convexity…
Estimation of intra-sector asset correlations
Research Papers
Stress-testing German credit portfolios
Research Papers
Modeling electricity prices by potential Lévy diffusions
Research Papers
The information premium for non-storable commodities
Research Papers
Cointegration between gas and power spot prices
Research Papers