Extended-lister
Showing 461 - 470 of 499 entries
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Research Report
Calculating VaR through Quadratic ApproximationsVaR calculations often require the valuation of complex instruments over a large set of scenarios. As complex derivatives use computationally expensive methods for pricing purposes, full valuation of these instruments on every scenario is not a viable solution. In this paper, we describe a method to approximate expensive pricing functions that allows for fast and accurate VaR calculations.
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Research Report
A General Approach to Calculating VaR Without Volatilities and CorrelationsIn the previous RiskMetrics Monitor in Streamlining the risk measurement process, we described an alternative to the variance-covariance (VCV) method for portfolio risk analysis. We called this method portfolio aggregation. In this article we provide a general framework that end-users can apply to produce estimates of VaR. As a specific example of this approach, we show how to employ Monte Carlo simulation without computing a covariance matrix.
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Research Report
Value-at-Risk for Asset ManagersAs asset managers continue to invest in more complex and diverse asset classes to achieve superior returns, the need for powerful risk management tools has grown enormously. Increasingly, asset managers are using relative Value-at-Risk (VaR) to assess the risk of their portfolios instead of relying solely on past performance results.
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Research Report
Risk Management for Non-Financial CorporationsImportant issues that corporations face in measuring and managing their market risk include long-term horizons, risk reporting in periods, accounting rules, position aging, exposure modeling, and risk against budgeted levels. We describe a risk model that calculates Earnings-at-Risk and Cash-Flows-at-Risk for corporations in a way that addresses these concerns, and work through a detailed example. The market model we use also incorporates mean reversion and calibration to market prices.
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Research Report
Issues in the Pricing of Synthetic CDOsIn this article, we discuss the standard pricing model framework for synthetic CDOs. Though the standard framework is by now well accepted, how the model is implemented precisely and, importantly, how the model is applied, vary across the marketplace. We discuss some of the outstanding implementation and application issues, and propose a number of questions that further research on the model should seek to address.
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Research Report
Fixed Income Risk AttributionWe compare the risk of the active portfolio with that of the benchmark and segment the difference between the two to correspond to decisions made by the manager of the active portfolio. There are three main decisions we consider: interest rate, which encompasses duration, allocation and selection decisions; currency; and credit.
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Research Report
Journal Extract: A Comparison of Stochastic Default Rate ModelsCollateralized Debt Obligations have sparked interest in portfolio default models over multiple horizons. For these, in contrast to single period models, there is little understanding of the impact of model assumptions. We investigate four multiple horizon models, each calibrated to the same set of input data. Our results show a significant disparity, showing that the issue of model choice is more consequential here than in the single period case.
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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...