Market risk
Software survey 2003
Survey
Enterprise-wide risk management: Knitting together bank risks
Thanks to recent events, bank risk managers are placing more emphasis on integrating counterparty and credit risk into other portions of their enterprise-wide risk management systems.
You can't be too careful
LTCM was an important lesson in leverage for fund managers and hopefully the massive gearing seen in 1998 will never be repeated
Sophis to complement Axa convertible arbitrage fund
paris-based sophis to supply software for trading set up
Op risk modelling for extremes
SMALL SAMPLE MODELLING
RiskNews review
The leading stories from RiskNews. For breaking news on derivatives and risk management, see www.RiskNews.net
Philips’ risk manager highlights VAR’s inadequacy
Value-at-risk can be an inadequate and inappropriate measure of risk for corporates, said Mark Kirkland, Amsterdam-based global head of financial risk services at Philips Electronics.
Sweating it out
How many more rounds are institutional pension fund investors prepared to go with their traditional investments before they start considering hedge funds?
RiskMetrics gives 'full risk transparency' to Arden FoF
Fund of funds uses data hub to increase risk disclosure
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the 'granularity adjustment') to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
Minimising extremes
Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such…
Value-at-risk: down but not out
‘No more VAR.’ This increasingly shrill call is being made by a section of the academic finance community both in journals and at conferences. Now, some practitioners are latching on, offering ‘VAR-free’ portfolio optimisation that is being promoted as…
Reaping integration rewards
In the October issue of Risk, Clive Davidson discussed the integration of ALM and ERM technology. Here, in a second article, he profiles the firms that have tackled this project and reviews the challenges, advantages and pitfalls of the integration…
Reaping integration rewards
In the October issue of Risk, Clive Davidson discussed the integration of ALM and ERM technology. Here, in a second article, he profiles the firms that have tackled this project and reviews the challenges, advantages and pitfalls of the integration…
Fallacies about the effects of market risk management systems
This paper takes another look at allegations that risk management systems have contributed to increased volatility in financial markets, with the particular example of the summer of 1998. The paper also provides new evidence on the potential effect of…
Pensions to increase alternatives allocation
A survey of pension funds offered by Axa, IBM UK, TRW, London Pension Fund Authority and Lloyd's of London, reveals an increasing interest in hedge funds
A bootstrap back-test
Back-testing
Pensions’ credit crisis
The markets’ swoon isn’t the only problem plaguing pension plans, according to credit derivatives dealers. They are also dangerously exposed to their own corporate sponsors. Navroz Patel reports on recent efforts to convince pensions to hedge this risk
The convergence of ALM and ERM
Banks seeking a truly complete view of their exposures are beginning to seek ways to integrate the enterprise risk management systems they use for their trading books with the asset and liability management systems they use for their banking books. Clive…
Pondering structural change
Alternative investing systems
Var too far
The energy industry has shown tremendous commitment to value-at-risk (Var) methodologies. But use of Var has been misguided, as James Ockenden discovers
Brummer & Partners: a dominant force
Hedge fund profile
Buying and selling risk
Risk budgeting