Asset allocation

Active risk control

Richard Bibb explores the pitfalls of value-at-risk statistics and explains how they can be interpreted and incorporated into a meaningful risk management strategy

Capinordic expansion

Capinordic Asset Management, part of the Denmark-based Capinordic Bank, is planning to launch a structured products distribution business in Sweden. Pierre Cooper talks to Johan Tjeder, the fund manager who has been brought in to help set up the operation

Transition revamp

The asset transition business is undergoing a major transformation, with strong risk management and pre-trade analysis capabilities becoming an increasingly important service differentiator. How are transition managers meeting the needs of Asian clients?…

Valid Assumptions Required: aggregation

In the first article of this series, in which Brett Humphreys questions some of the assumptions and decisions that go into the calculation of value-at-risk, he focuses on portfolio aggregation.

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…

New interest in portfolio asset allocation

The top positions in our annual most cited authors table (A) demonstrate continued interest in credit derivatives in recent years. The lead is taken by Robert Jarrow, who contributed on a wide range of topics. From table B, we see that the top 10 most…

Time for multi-period capital models

Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson, Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…

Maximum drawdown

The maximum loss from a market peak to a market nadir, commonly called the maximum drawdown (MDD), measures how sustained one’s losses can be. Malik Magdon-Ismail and Amir Atiya present analytical results relating the MDD to the mean return and the…

Bidding principles

Robert Almgren and Neil Chriss show how principal bid programme trades can be priced and evaluated as part of a trading business. By annualising the price impacts and variances of such trades, they construct an information ratio measure that can be used…

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…

Sweden’s credit risk maverick

“We don’t like portfolio management,” says Björn Börjesson, executive vice-president and head of the central credit department at Svenska Handelsbanken in Stockholm.

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