Extended-lister
Showing 471 - 480 of 502 entries
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Webcast
Convertible Bond Modeling in BarraOne
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Webcast
Reporting Use Cases for Today's Risk Manager
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Research Report
RiskMetrics Journal - Winter 2009We are pleased to bring you the 2009 issue of the RiskMetrics Journal. This issue contains four papers representing a diverse set of issues that our research team has encountered over the last twelve months.In the first paper, Christopher Finger presents empirical tests on variations of the standard model for tranched credit derivatives, or synthetic CDOs. There is a rich literature of new model proposals or extensions, but little empirical work focusing on the typical application of the...
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Research Report
RiskMetrics Journal - Winter 2008Volatility Forecasts and At-the-Money Implied Volatility Inflation Risk Across the Board Extensions of the Merger Arbitrage Risk Model Measuring the Quality of Hedge Fund Data Capturing Risks of Non-transparent Hedge Funds
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Research Report
RiskMetrics Journal - Winter 2007Portfolio Credit Spread Risk Backtesting Risk Methodologies from One Day to One Year Measuring Risk on Credit Indices: On the Use of the Basis Developing an Equity Factor Model for Risk Merger Arbitrage Risk Model
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Research Report
Modeling the Fixed Income Risk of Asian Emerging MarketsThe emergence of developed Asian credit markets represents a tremendous opportunity for fund managers but sound risk management is necessary. Building a simple yet reasonable risk model in these markets is a delicate task that requires overcoming three challenges: the limited vailability of historical data, the small number of bond issues, and in most markets the absence of a universally accepted, liquid benchmark. This report describes Barra’s approach to modeling fixed income risk in...
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Research Report
RiskMetrics Journal - Winter 2005Distribution of Defaults in a Credit Basket Risk Budgeting for Pension Plans Incorporating Equity Derivatives into the CreditGrades™ Model Adaptations of Monte Carlo Simulation Techniques to American Option Pricing
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Research Report
RiskMetrics Journal - Winter 2004Fixed Income Risk Attribution Issues int the Pricing of Synthetic CDOs Risk Management for Non-Financial Corporations
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Research Report
RiskMetrics Journal - Winter 2003Specific risk for long-term horizons Risk attribution for asset managers Risk and expectations in the crude oil market in recent months
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Research Report
RiskMetrics Journal - Fall 2003Examples and Applications of Closed-Form CDO Pricing Liquidity Risk: Current Research and Practice Interest-Rate Expectations in Recent Months