Confidence interval
Overcoming Markowitz’s instability with hierarchical risk parity
Portfolio optimisation via HRP provides stable and robust weight estimates
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
Basel Committee faces hard choices in op risk modelling reform
Reducing model diversity may endanger AMA's risk management benefits
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Enough’s enough
Brett Humphreys takes the guesswork out of determining how many simulations are needed to calculate value-at-risk