New approach calculates contributions to value-at-risk for nonlinear portfolios
Europe’s new rules on securities financing transactions require firms to collect and report a mass of new data. This is a challenge, but also an opportunity
Clustering algo delivers speedier and more accurate explanations of portfolio returns
This paper provides a framework to analyze the performance of a portfolio manager under a value-at-risk (VaR) constraint, in a Markowitz setup.
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
Firms see benefit in linking performance attribution and risk, but differences in approach are a constraint on headway
Risk professionals and investors would both benefit from industry-wide norms
A P&L attribution framework can improve the information available to energy traders