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CUTTING EDGE - Risk management - Shortfall: Who contributes and how much? Understanding risk contributions is a key part of successful risk management and portfolio optimisation. T...
Martin, Richard - In: Risk : managing risk in the world's financial markets 22 (2009) 10, pp. 84-89
Persistent link: https://www.econbiz.de/10008325423
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Credit derivatives Local jump intensity models, in which the volatility of a Lévy process is made spot-dependent, are difficult to parameterise and calculate. However, they are an...
Martin, Richard - In: Risk : managing risk in the world's financial markets 23 (2010) 9, pp. 122-128
Persistent link: https://www.econbiz.de/10008703044
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Portfolio management The risk contribution of a position is the sensitivity of risk to a fractional change in the position. By the Euler formula, the risk contributions add up to t...
Martin, Richard; Ordovàs, Roland - In: Risk : managing risk in the world's financial markets 23 (2010) 10, pp. 98-104
Persistent link: https://www.econbiz.de/10008717186
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CREDIT PORTFOLIO RISK: Shortfall: a tall of two parts - The authors show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposit...
Martin, Richard; Tasche, Dirk - In: Risk : managing risk in the world's financial markets 20 (2007) 2, pp. 84-89
Persistent link: https://www.econbiz.de/10007607331
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Asset management - Momentum trading:'skews me - An attractive characteristic of momentum strategies is that they generate a distribution of trading returns that is positively skewe...
Martin, Richard - In: Risk : managing risk in the world's financial markets 25 (2012) 8, pp. 40-46
Persistent link: https://www.econbiz.de/10010012820
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Asset management - Non-linear momentum strategies Trading strategies that follow trends, or market momentum, result in positively skewed distribution of market returns. Strategies...
Martin, Richard; Bana, Ali - In: Risk : managing risk in the world's financial markets 25 (2012) 11, pp. 60-65
Persistent link: https://www.econbiz.de/10010047131
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FEEDBACK - MOTHER KNOWS BEST - Nature was perfecting feedback when we were just a gleam in evolution's eye.
Martin, Richard - In: Forbes : business and finance (2002), pp. 26-31
Persistent link: https://www.econbiz.de/10006263027
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Credit portfolio measuremenet: Unsystematic credit risk - Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was ca...
Martin, Richard; Wilde, Tom - In: Risk : managing risk in the world's financial markets 15 (2002) 11, pp. 123-128
Persistent link: https://www.econbiz.de/10007034939