Variance
Variance-covariance-based risk allocation in credit portfolios
Mikhail Voropaev proposes high-precision analytical approximation for variance-covariance-based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
The equity volatility-credit link
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Quant of the Year - Dilip Madan
Risk Awards 2008
Time to smile
Cutting edge: Option pricing
A true test for value-at-risk
The three classic approaches for measuring portfolio value-at-risk do not compare like with like, argues Richard Sage. Here he presents a test portfolio to highlight the differences between calculation methods
Hedge your Monte Carlo
Option pricing