Market risk
Satisfaction guaranteed?
There is no need to feel blinded by science when buying a product with a guarantee. The answer lies in asking the right questions
Information exploitation
The managers of Griffin Capital Management's Eastern European Value fund developed a program to make the most of their research database, resulting in 140% returns since its 1997 launch
Correlation stress testing for value-at-risk
The correlation matrix is of vital importance for value-at-risk (VAR) modelsin the financial industry. Risk managers are often interested in stressing a subsetof market factors within large-scale risk systems containing hundreds ofmarket variables…
Evaluating credit risk models using loss density forecasts
The evaluation of credit portfolio risk models is an important issue for both banks and regulators. It is impeded by the scarcity of credit events, long forecasthorizons, and data limitations. To make efficient use of available information, the…
The dilemmas of risk disclosure
Disclosure
The strong dollar challenge
Corporate hedging
Isda and BMA propose 35% charge for restructuring risk
The International Swaps and Derivatives Association (Isda) and the Bond Market Association (BMA) submitted a comment letter today to the Basel Committee on Banking Supervision in which they argued that, for the sake of capital calculations, loans hedged…
Commercial risk prohibits managers revealing shorts
regulators must accept lower transparency on short side
Isda and BMA propose 35% charge for restructuring risk
The International Swaps and Derivatives Association (Isda) and the Bond Market Association (BMA) submitted a comment letter today to the Basel Committee on Banking Supervision in which they argued that, for the sake of capital calculations, loans hedged…
Accord preparations: the rest is yet to come
While the debates have raged for months about many aspects of the proposed Basel II Accord, on some points there has been relative silence, in particular with regard to the seeming overreliance on statistical techniques.
A natural pillar
Profile: BMW
More gauges for mortgages
Hedge funds
Technology briefs
Systems
Technology briefs
Systems
Demand rises for cheap ASP-based risk technology systems
customers more comfortable using web-hosted technology
Structured solutions
Structured products linked to a diversified portfolio of hedge funds open the door to investors with little appetite for risk, those with possible legal/tax/compliance constraints, or those who require regular income payments
The M&A search begins
The Mellon HBV European Event Driven Fund LP is on the hunt for merger and acquisition arbitrage funds
Prepare for the unexpected
Hedge fund managers are regarded as the most sophisticated in the financial services arena. But are they prepared to cope with unexpected shocks to the system?
European buy side still lags in risk management
The findings of a recent survey show that buy-side firms have increased their focus on risk management, but are still well behind their sell-side counterparts.
Standing out from the crowd
Credit Risk
Scaling the credit cliff
Credit Risk
Losing track?
Tracking error