In this paper, we aim at constructing a global risk model using the term structure from major bond-issuing countries …. The goal is twofold: first this allows quantifying global interest rate risk (level, slope and curvature effects … in a risk parity framework where each country's sensitivity to global interest risk is accounted for. More specifically …

practitioners are enhancing the risk allocation framework in order to incorporate hedge funds. The risk allocation framework … consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures; 2. Optimize Risk … Allocation; 3. Implement Investment Strategy.Part 1 of this series discussed how to apply the first step, identifying risk …

methodology to hedge funds. Finally the article will discuss a number of leading edge solutions to these problems. The risk … allocation framework consists of the following three steps. For the universe of potential investments: 1. Identify Risk Exposures …; 2. Optimize Risk Allocation; 3. Implement Investment Strategy. Part 1 of this series will discuss the first step in the …

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

related to less liquid financial assets from emerging markets. Since investment decisions are based on risk preferences and … investors are commonly risk averse, they tend to limit their risk exposure while defining their investment strategy. Various … risk measures can be used to estimate the level of risk. Value at Risk (VaR) is a widely accepted summary measure of market …

with the leveraged nature of carry trade: leverage may increase profitability but it materially increases downside risk. We …

It is often argued in defense of Risk Parity portfolios that they maximize the Sharpe ratio if their securities have … correlation structure. In realistic markets, Risk Parity portfolios do not maximize the Sharpe ratio, do not minimize variance, do … about Risk Parity? …