Extended-lister
Showing 421 - 430 of 499 entries
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Product Documentation
Introduction to WealthBench
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Support Site Video
Multi-Manager Analysis in BarraOne
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Product Documentation
Institutional Investor Sample ReportRiskMetrics HedgePlatform Measurisk
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Product Documentation
The HedgePlatform CommunityRiskMetrics HedgePlatform Measurisk
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Product Documentation
Fund of Funds Sample ReportRiskMetrics HedgePlatform Measurisk
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Research Report
Backtesting Risk Methodologies from One Day to One YearMarket risk evaluation is nowadays routinely used, but surprisingly the performances of the various existing methodologies are poorly known. In this paper, we present a systematic backtesting study using 233 time series covering all geographic areas and asset classes, for time horizons ranging from one day to one year. The testing framework uses the probtiles and the relative exceedance fraction in order to compute convenient performance figures. The risk methodologies include historical...
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Research Report
Portfolio Credit Spread RiskSpread risk statistics should enable comparisons not only between securities issued by the same firm, but also across different issuers. We present a flexible risk management framework for measuring credit spread risk at the portfolio level. Spread risk factors, such as bond spreads and CDS data, can be drawn directly from the bond and credit markets, and indirectly through prices and implied volatilities from the equity markets. In order to...
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Research Report
Adaptations of Monte Carlo Simulation Techniques to American Option PricingSerena Agoro-Menyang presents a survey of Monte Carlo methods to price American options. As Serena points out in her introduction, standard Monte Carlo techniques are not well suited for this problem since they are fundamentally forward algorithms: at a given point in time, we know about the past evolution of the option underlying, but not about its future. This complicates the valuation of American options, since it is difficult to determine when it is optimal to exercise. Backward induction...
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Research Report
Specific Risk for Long-Term HorizonsWe discuss the extra risk associated with undiversified portfolios, build a model for simulating an undiversified portfolio over a very long time horizon, and test the model empirically. The model incorporates both credit and market risk. The main result is that, for any portfolio, the excess volatility ascribed to underdiversification is proportional, on average, to the Herfindahl index of the portfolio.
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Research Report
Economic capital allocation for credit riskEconomic capital allocation is a distinct problem from the determination of total portfolio capital. VaR or expected shortfall can be used as measures of total capital in the sense of a solvency guarantee or insurance premium. After introducing a set of criteria that a capital allocation scheme should meet, we find that allocation based on expected shortfall contribution is the best overall choice.