This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …

that the calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … enough diversification of risk in a global credit portfolio to allow for a good hedge. Over the whole sample, the reduction … volatility are high. Increases in VIX, in the 10-year swap rate or in liquidity risk tend to decrease hedging efficiency …

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is … CDSs and CDS indices, and we also evaluate the level of basis risk still remaining under the hedge. We address several … questions: Is there enough diversification of risk in a global credit portfolio to allow for a good hedge? Is basis risk higher …

portfolios that help mitigating climate change risk but at the same time enable harvesting well-established return drivers such …

Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …