Market risk

Beyond Black-Litterman: views on non-normal markets

In normally distributed markets, the Black-Litterman technique allows managers to construct portfolios that account for their views on a set of expected returns. Attilio Meucci extends the Black-Litterman framework to generic market distributions and…

Filling the ratings void

Unlike bond investors, structured products investors lack the benefit of industry-standard risk ratings. But with investors, IFAs and distributors all demanding change, Germany's investment banking industry, analytic firms and ratings agencies across…

Hoodwinked!

Have you got a good grip on your view of volatility and correlation? Neil Palmer shows that, thanks to ever -present measurement errors, even the steadiest markets can throw up big surprises

CRO Forum study released

Industry body the Chief Risk Officer (CRO) Forum, which consists of the chief risk officers of Europe's leading insurers, is advancing the case for the use of proprietary internal models under Solvency II with the publication of a new in-depth report.

S&P calls for more risk disclosure

Standard & Poor's has called on financial institutions to provide more risk disclosure about potential losses from worst-case financial events. The ratings agency, which started factoring in market risk management statistical analysis as an important…

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