GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so management must also include XVA. In trading book management we focus on pricing, hedging, and allocation of prices or...

We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...

We solve for the optimal portfolio allocation in a setting where both conditional correlation and the clustering of extreme events are considered. We demonstrate that there is a substantial welfare loss in disregarding tail dependence, even when dynamic conditional correlation has been accounted...

This report is a brief of the actual research and discusses two ways of asset allocation in Hedge Funds to generate alpha over the fund of hedge funds. The fund of hedge funds have fallen out of favour for investors seeking alternative investments as they have lagged the general market returns....

The paper investigates the portfolio allocation effects of increased asset co-movements during extreme market downturns. We develop a model for the state variables underlying the stock price process that allows for increased and asymmetric dependence between extreme return realizations. We...

In this paper we address the issue of modeling extreme asset co-movements and their implications for the hedging demands of a dynamic portfolio. We propose a model that is able to accommodate an extremal dependence structure through the stationary distribution of the state variables underlying...

Online investor attention, measured by Google searches, may provide valuable information for the assessment of the co-movement between financial assets. In our empirical analysis, we draw upon an extension of the dynamic conditional correlation model and find that online investor attention is a...

At its core, portfolio and risk management is about gathering and processing market-related data in order to make effective investment decisions. To this end, risk and return statistics are estimated from relevant financial data and used as inputs within the investment process. It is this...