such policies. A typical industry practice consists of using fund mapping regressions to represent basis risk stemming from …

.e. what is maximum downside risk, if investment is made in mutual funds. Performance measures that consider both upward and … downwards volatility might not be very useful for investors. Rather performance measures that consider risk by taking into … account only losses, such as Value-at-Risk (VaR), is more appropriate technique to evaluate the performance. In the present …

Basel II defines operational risk as the risk of direct or indirect loss resulting from inadequate or failed internal … to measuring this risk, approaches that abstract from market risk and reputational risk. The challenge is to develop … operational risk measures in an asset management context where there is only limited information available about the incidence and …

risk-return performance measures, asset allocation or loss probabilities of portfolios containing such instruments, will be … heterogeneity, risk preferences, non-linearities, and significant serial correlation. The results presented have significant … implications for risk management, asset managements and investors' perceptions …