Risk
Interconnectedness risk and active portfolio management
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
Do investors price industry risk? Evidence from the cross-section of the oil industry
This paper analyzes the case of commodity-dependent industries by testing in the case of the oil industry and analyzing whether oil exposure relates to the cross-section of returns.
The temporal dimension of risk
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
Shortfall deviation risk: an alternative for risk measurement
In this paper, the authors propose the SDR risk measure to consider the degree of dispersion of an extreme loss in addition to its expected value.
Risk reduction in a time series momentum trading strategy
In this paper, the authors investigate the four most commonly used risk measures – return volatility, beta, value-at-risk and stressed value-at-risk – of a TSM trading strategy.
Acceptability bounds for forward starting options using disciplined convex programming
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
Systematic analysis of the evolution of electricity and carbon markets under deep decarbonization
A computationally intensive, multimethod modeling process is undertaken to address the question of whether carbon markets can offer the desired solution of balancing initiatives for technological change while maintaining a commitment to market…
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
People: Societe Generale appoints new chief risk officer
Diony Lebot is promoted; Robert Cook becomes president and CEO of Finra; Andre Cronje joins HSBC
The excess returns of “quality” stocks: a behavioral anomaly
This paper investigates the causes of the quality anomaly by exploring two potential explanations - the “risk view” and the “behavioral view”.
Portfolio insurance with adaptive protection
This paper investigates the optimal design of funds which provide capital protection at a specific maturity.
Bringing order to op risk and the duck-billed platypus
Industry co-operation on operational risk taxonomies might yield a valuable tool
Banks’ expected equity-to-asset ratio bounds under foreign exchange risk
This paper develops optimal bounds of the expectation equity-to-asset ratio.
Avoiding crowds: BlackRock leads push to model 'endogenous' risk
A known flaw in conventional risk models is becoming hard to ignore in current markets
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Does bonus deferral reduce risk-taking?
This paper characterizes continuous-time risk-taking.
Nonnegative risk components
This paper proposes two methods for attributing the risk of a portfolio or system to its components.
Banks' ethics push seen as good for bottom line
EU non-financial reporting rules expected to push firms to consider ESG concerns
A unified framework for risk-based investing
This paper aims to help investors better understand the commonalities and differences between risk-based portfolio strategies in the investment industry.
Which risk–collateral channels affect loan management?
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
Q&A: Allianz CRO on using smarter performance metrics
Modern CROs must think carefully about value, especially for capital-heavy products, says Tom Wilson
Avoiding fraudsters key to Neuberger Berman's China fund
Not uncommon to find companies fabricating accounting statements in China
Infrastructure funds focus on de-risking energy investments
Investors see opportunities as utilities divest underperforming assets
Tendance Finance sees risk in ETF liquidity
French hedge fund also fears regulators may cap leverage and curtail shorting