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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

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

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

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

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

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

Analysis of dependencies in low frequency financial data sets

Ardia, David - Volkswirtschaftliche Fakultät, … - 2003

This empirical study proposes a dependency analysis of monthly financial time series. We use the overlapping technique and non-parametric correlation in order to increase both accuracy and consistency. Copulas are used to test extreme co-movements between financial securities. Our results...

Persistent link: https://www.econbiz.de/10005837546

A Spot Stochastic Recovery Extension of the Gaussian Copula

Bennani, Norddine; Maetz, Jerome - Volkswirtschaftliche Fakultät, … - 2009

stochastic recovery modelling. This paper presents an extension to the standard Gaussian copula framework that introduces a …

Persistent link: https://www.econbiz.de/10008476375

Levy Subordinator Model: A Two Parameter Model of Default Dependency

Balakrishna, B S - Volkswirtschaftliche Fakultät, … - 2010

-factor Gaussian copula model and can easily be implemented within the framework of the existing computational infrastructure. As it … turns out, the Gaussian copula model can itself be recast into this framework highlighting its limitations. The model can … also demonstrates its ability to generate reasonable hedge ratios. …

Persistent link: https://www.econbiz.de/10008685034