Extended-lister
Showing 141 - 150 of 152 entries
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Research Report
RiskMetrics Journal - Spring 2000Two articles in users' corner Toward a Better Estimation of Wrong-way Credit Exposure Do Implied Volatilities Provide EarlyWarning of Market Stress? A Stress Test to Incorporate Correlation Breakdown
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor Special Edition 1998How the formation of the EMU will affect RiskMetrics Overview of EMU, resulting changes in the RiskMetrics methodology, and a tool to conduct stress testing on EMU-related scenarios
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 4Q97A methodology to stress correlations What risk managers should know about mean reversion and jumps in prices
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 3Q97An investigation into term structure estimation methods for RiskMetrics When is a portfolio of options normally distributed?
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 2Q97A detailed analysis of a simple credit exposure calculator A general approach to calculating VaR without volatilities and correlations
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 1Q97On measuring credit exposure The effect of EMU on risk management Streamlining the market risk measurement process
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 4Q96Testing RiskMetrics volatility forecasts on emerging markets dataWhen is non-normality a problem? The case of 15 time series from emerging markets
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 3Q96Accounting for "Pull to Par" and "Roll Down" for RiskMetrics cashflows How accurate is the Delta-Gamma Methodology? VaR for basket currencies
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 2Q96An improved methodology for measuring VaR that allows for a more realistic model of financial return tail distributions A value-at-risk analysis of currency exposures underscoring the limitations of standard VaR when underlying market return distributions deviate significantly from normality Estimating index tracking error for equity portfolios
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 1Q96A Look at two methodologies which use a basic delta-gamma parametric VaR precept but achieve similar results to simulation Basel committee revises market risk supplement to 1988 capital accord