Extended-lister
Showing 471 - 480 of 499 entries
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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
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Research Report
RiskMetrics Journal - Summer 2002Estimating issuer-specific risk for corporate bonds Estimation of zero-coupon curves in DataMetrics A primer on Vega risk measurement in RiskManager Market developments in the first half of 2002
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Research Report
CreditGrades Technical DocumentThe model is a straightforward, practical application of the structural model for credit risk that has been used for a number of years by a variety of credit market participants. In designing the model, the authors of this document have made assumptions so as to relate relevant model parameters to market observables. It is the hope of the four institutions involved in the project -- Deutsche Bank, Goldman Sachs, JPMorgan and RiskMetrics Group -- that by documenting the details of the model...
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Research Report
RiskMetrics Journal - Winter 2002Mark-to-market, oversight, and sensitivity analysis of CDOs Importance sampling for credit portfolio simulation Economic capital allocation for credit risk Financial markets in the aftermath of the terrorist attacks