The aim of this paper is twofold: (i) to introduce two recursive estimation algorithms suitable for the EWMA process that are applicable for routine volatility predictions, and (ii) to investigate their prediction ability by comparing them with other…
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Different approaches taken by regulators and risk managers are justified, according the SEC’s Gregg Berman
Basel 2.5 capital charge incoherent and challenging to implement, say risk managers
RiskMetrics: Z-Metrics credit analysis tool
Reputational risk will often come hand in hand with operational risk, but it has yet to be taken as seriously, if it is even considered at all. David Benyon finds out why, and asks what might be done to resolve this situation
Knut Kjaer, former chief executive of Norges Bank Investment Management - a division of the Norwegian central bank that oversees the $370 billion Government Pension Fund of Norway and the country's foreign reserves - has been appointed president of New…
Financial institutions face major challenges in modelling credit portfolio risk, particularly in the field of CDOs. Walter Schulte-Herbrüggen and Gernot Becker argue that the main challenge will be in model testing, due to the increasingly customised…
The European Bank for Reconstruction and Development (EBRD) has chosen Standard & Poor’s (S&P) portfolio risk tracker (PRT) tool for its treasury operations. The move represents a blow to rivals Moody’s KMV and RiskMetrics, whose product, CreditManager,…
A cash injection into RiskMetrics Group of $122 million by private equity investors last month was the largest venture capital deal of the second quarter.
Past performance is no guarantee of future returns. RiskMetrics' John Matwey says more and more investors will therefore inevitably demand third-party reporting of risk positions taken by hedge funds.
RiskMetrics' head of quantitative research, Allan Malz, has left to join New York investment company the Clinton Group, said a RiskMetrics spokesman.
Software vendor Summit Systems has made a number of appointments for its New York office. The hires include the return of co-founder Kathy Perrotte to the vendor after a one-year sabbatical.
When high-profile blow-ups hit the headlines, calls for greater transparency come to the fore. By Peter Davies, vice-chairman, RiskMetrics Group
The adoption of application service provider (ASP)-based financial risk management systems is increasing rapidly, according to RiskMetrics.
In this month’s analysis of energy firms’ credit quality via Riskmetrics’ CreditGrades tool, Williams and El Paso are among those with tighter spreads
New York-based risk technology vendor RiskMetrics has acquired Arrakis, the technology platform developed by JP Morgan’s Private Banking Group in 1999 to support the bank’s online site for clients, Morgan OnLine.
Vendors seeking to cater to pension fund clients are rolling out a new breed of asset/liability risk analysis tools to complement risk reporting and benchmarking systems, all tailored to the unique needs of these institutions.
SEI Investments, an alternative investment fund service based in Pennsylvania, has teamed up with New York-based risk analytics company RiskMetrics in a bid to solve the discrepancy between investors seeking accurate risk reporting from hedge funds and…
Risk management and analytics firm RiskMetrics gives this month’s analysis of energy companies’ credit quality using its CreditGrades tool
South Korea's banks have made huge strides in implementing risk management systems over the past few years, but Basel II is not yet a driving force, with banks waiting for the Korean regulator to publish local guidelines.