RiskMetrics
Performance of value-at-risk averaging in the Nordic power futures market
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.
Commodity value-at-risk modeling: comparing RiskMetrics, historic simulation and quantile regression
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Risk USA: Regulators need different focus to risk managers, says SEC risk adviser
Different approaches taken by regulators and risk managers are justified, according the SEC’s Gregg Berman
Stressed VAR questioned by risk managers
Basel 2.5 capital charge incoherent and challenging to implement, say risk managers
RiskMetrics: Z-Metrics credit analysis tool
RiskMetrics: Z-Metrics credit analysis tool
Can reputational risk be measured
Reputational risk will often come hand in hand with operational risk, but it has yet to be taken as seriously, if it is even considered at all. David Benyon finds out why, and asks what might be done to resolve this situation
Kjaer joins RiskMetrics as president
Knut Kjaer, former chief executive of Norges Bank Investment Management - a division of the Norwegian central bank that oversees the $370 billion Government Pension Fund of Norway and the country's foreign reserves - has been appointed president of New…
Measure for measure
Compliance Tools
From Basel II to Basel III
Financial institutions face major challenges in modelling credit portfolio risk, particularly in the field of CDOs. Walter Schulte-Herbrüggen and Gernot Becker argue that the main challenge will be in model testing, due to the increasingly customised…
EBRD selects S&P portfolio risk tool
The European Bank for Reconstruction and Development (EBRD) has chosen Standard & Poor’s (S&P) portfolio risk tracker (PRT) tool for its treasury operations. The move represents a blow to rivals Moody’s KMV and RiskMetrics, whose product, CreditManager,…
RiskMetrics’ re-capitalisation tops venture capital deal table
A cash injection into RiskMetrics Group of $122 million by private equity investors last month was the largest venture capital deal of the second quarter.
Reporting: a better performance measure
Past performance is no guarantee of future returns. RiskMetrics' John Matwey says more and more investors will therefore inevitably demand third-party reporting of risk positions taken by hedge funds.
RiskMetrics' head of quant research joins Clinton Group
RiskMetrics' head of quantitative research, Allan Malz, has left to join New York investment company the Clinton Group, said a RiskMetrics spokesman.
Summit Systems names prominent hires in New York
Software vendor Summit Systems has made a number of appointments for its New York office. The hires include the return of co-founder Kathy Perrotte to the vendor after a one-year sabbatical.
Risk transparency without position transparency
When high-profile blow-ups hit the headlines, calls for greater transparency come to the fore. By Peter Davies, vice-chairman, RiskMetrics Group
RiskMetrics sees demand growing for ASP platforms
The adoption of application service provider (ASP)-based financial risk management systems is increasing rapidly, according to RiskMetrics.
Trying to model reality
Credit Risk
Credit watch
In this month’s analysis of energy firms’ credit quality via Riskmetrics’ CreditGrades tool, Williams and El Paso are among those with tighter spreads
RiskMetrics acquires on-line technology from JP Morgan Chase Private Banking
New York-based risk technology vendor RiskMetrics has acquired Arrakis, the technology platform developed by JP Morgan’s Private Banking Group in 1999 to support the bank’s online site for clients, Morgan OnLine.
Pension fund risk systems advance
Vendors seeking to cater to pension fund clients are rolling out a new breed of asset/liability risk analysis tools to complement risk reporting and benchmarking systems, all tailored to the unique needs of these institutions.
SEI links with RiskMetrics to improve hedge fund risk reporting
SEI Investments, an alternative investment fund service based in Pennsylvania, has teamed up with New York-based risk analytics company RiskMetrics in a bid to solve the discrepancy between investors seeking accurate risk reporting from hedge funds and…