simulation procedures must be made. As an example, FX volatility adjustment for risk factors simulation is considered. The impact …This paper discusses a class of methodological issues that frequently arise in the risk management systems such as PFE … deficiencies and disconnect between the calibration and the simulation modules, a number of adjustments to the risk factor …

the May 2010, August 2011, October 2012, October 2014 and August 2015 *risk-off moves. *risk-off loosely defined as a … suggests that several factors outlined in our Market Risk Management Framework piece have conspired to foster the instances of … analysis of other risk and return measures (not shown here) including the VIX, credit spreads and stock dispersions, do not …

which no optimization is considered. In this contribution we focus on the role of volatility in downside risk reduction and ….A second contribution of this work is to study the interaction between volatility control and downside risk control. We show … controlling tail risk to reduce drawdowns thus increasing possibilities of achieving long-term objectives. Recently, so called …

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk … VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …

We propose a novel approach to model investors' uncertainty using the conditional volatility of investors' sentiment … positive link between investors' uncertainty and market risk. We also find that investors' uncertainty and market risk are …