Risk-adjusted return
Unaligned exchange traded funds: risk-adjusted performance and market-timing skills
The authors compare the performance of unaligned exchange-traded funds with US and global equities, finding a significant positive correlation in monthly returns.
AIIB risk chief on steering China’s World Bank rival
Martin Kimmig on the Asian Infrastructure Investment Bank’s challenge of overcoming patchy credit data
Toward an efficient people-risk capital allocation for financial firms: evidence from US banks
In this paper, the authors address the issue of an efficient people-risk capital allocation for financial institutions.
When time is of the essence, shortcuts are still handy
‘New age’ quants might not like it, but speed can be traded for accuracy in spotting investment opportunities
Optimal betting sizes for the game of blackjack
The authors of this paper develop the theory of Kelly and Thorp for determining optimal bet sizes for blackjack by incorporating two practical considerations.
Profile: Tina Surh, chief investment officer, New York University endowment fund
Americas Awards 2012
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Momentum trading: ’skews me
Momentum trading: ’skews me
FTSE Diversification index series as the 'way forward'
FTSE Diversification index series as the 'way forward'
Sponsor's Article > What are loan loss reserves?
Few things are more frustrating to businesses than to be subjected to contradictory requirements by multiple authorities. Modest inconsistencies are glossed over with little or no harm. David Rowe argues, however, that conflicting definitions of loan…
Economic capital – how much do you really need?
Economic capital is becoming the language of risk. While market, credit and operational risk have different determinants and use different methodologies, the levels of risk can all be summarised in a common dimension – the amount of economic capital…
Raroc pioneer now questions use of risk analytics
Dan Borge, who developed the first widely used enterprise-wide risk management system, risk-adjusted return on capital (or Raroc) while head of global research and corporate strategy at Bankers Trust in the 1970s and 1980s, now questions whether…
Optimise this
One of the reactions to recent energy trading difficulties has been a shift away from speculative activities towards portfolio optimisation, but what does the term really mean, ask Tim Essaye and Brett Humphreys
S&P says Basel II helping to improve German banking
FRANKFURT – The proposed Basel II bank safety rules, weak operating performance and shareholder value considerations are behind a trend to more efficient capital allocation, prudent cost control and risk-adjusted pricing in German banking, a leading…
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…
Capital thinking
Manuel Méndez aims to have BBVA among the first to qualify for Basel II’s advanced risk capital approaches.
A major improvement
In May, David Rowe wrote that the Basel Committee ‘could do better’ with respect to the inclusion of operational risk in the capital Accord. Here, he says the working paper the committee published in late September outlines a major and valuable…
Why Basel must brush-up on credit
Paul Kupiec of the International Monetary Fund argues that unresolved calibration problems remain with the new Basel Accord’s credit risk capital requirements – problems that may lead banks to make damaging risk decisions.