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Introduction to Risk Parity and Budgeting

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...

Persistent link: https://www.econbiz.de/10011259736

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...

Persistent link: https://www.econbiz.de/10009278294

Generalized Marginal Risk

Keel, Simon; Ardia, David - Volkswirtschaftliche Fakultät, … - 2009

An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this metric is only meaningful when a position is levered...

Persistent link: https://www.econbiz.de/10005103419

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation

Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in...

Persistent link: https://www.econbiz.de/10011109458

Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks

Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2013

results in insignificant abnormal hedge returns. In contrast, investing based on the inflation effect on companies …’ nonmonetary holdings consistently yields economically and statistically significant abnormal hedge returns. These findings … indicate that inflation-based abnormal hedge returns are driven not by the exposure of companies’ net monetary holdings to …

Persistent link: https://www.econbiz.de/10011259622

A Radical Shift in Managing Risks: Practical Applications of Complexity Theory

Chichilnisky, Graciela - Volkswirtschaftliche Fakultät, … - 1998

Complexity theory is designed to bring order out of a rough-and- tumble world, something close to every insurance professional's or actuary's heart. Whether applied in the laboratory or as part of a mathematical model, it can do wonderful things . But in the real world it's just what its name...

Persistent link: https://www.econbiz.de/10005789667

Financial Innovation in Property Catastrophe Reinsurance: The Convergence of Insurance and Capital Markets

Chichilnisky, Graciela - Volkswirtschaftliche Fakultät, … - 1996

financial instruments that can be successfully used to hedge unknown catastrophe risks. …

Persistent link: https://www.econbiz.de/10005619352

Estimating the risk-adjusted capital is an affair in the tails

Canestraro, Davide; Dacorogna, Michel - Volkswirtschaftliche Fakultät, … - 2010

(Re)insurance companies need to model their liabilities' portfolio to compute the risk-adjusted capital (RAC) needed to support their business. The RAC depends on both the distribution and the dependence functions that are applied among the risks in a portfolio. We investigate the impact of...

Persistent link: https://www.econbiz.de/10009246898

The utilization of copula in hidrology

Trandafir, Romica; Ciuiu, Daniel; Drobot, Radu - Volkswirtschaftliche Fakultät, … - 2010

parameter θ of the connecting copula for the water maximum discharges and water volumes are obtained. The isolines for C …

Persistent link: https://www.econbiz.de/10009294675

Multiple risky securities valuation I.

Ilya, Gikhman - Volkswirtschaftliche Fakultät, … - 2008

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of portfolio assets. Our approach close but it does...

Persistent link: https://www.econbiz.de/10009359935