This paper considers the empirical evaluation of a collective risk model with the geometric as the primary distribution and the exponential as the secondary distribution.
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
ARP Investments offers cut-price exposure to popular hedge fund strategies
Tail-risk skewness, rather than volatility, is correlated with risk premiums
GAM portfolio construction offers alternative to backward-looking methods
Efficient hedging – Using market distortion to your advantage
Market-consistent equity risk premiums
Qantas Airways’ head of risk believes the company could take more risks within its hedging programme
Standard & Poor's has launched four indexes to measure risk premiums, which have gained a lot of interest from product providers.
Energy exploration and production (E&P) companies face increased cost risks as insurance premiums could rise, following BP’s Gulf of Mexico oil spill, which forced reinsurance firms, such as Germany’s Munich Re, to shell out hefty payments
The remarkable stability of the past two decades sowed the seeds of the current crisis. In future, monetary authorities will have to be more aggressive about removing the punch bowl when the party gets interesting, argues David Rowe
Masterclass – with JP Morgan