Decomposition
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
Semianalytical pricing and hedging of fixed and indexed energy swing contracts
This paper offers a new way to price and hedge energy swing contacts, decomposing swing contracts into tradeable products, adding time-spread optionality to Keppo’s approach.
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
Wavelet decomposition and applied portfolio management
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Insurance optional
Asset/liability management