The identification, assessment, and prioritization of risks, followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities.

learn more… | top users | synonyms

1
vote
3answers
70 views

comparing modified VaR to ordinary VaR

What inferences can one draw when given a modified VaR at x% confidence and an ordinary VaR at x% confidence level. If the two are equal one inference can be that returns are gaussian but that also ...
0
votes
3answers
349 views

How to create a model or formula for evaluating trade opportunities

I want to build a formula to produce a score for a potential trade based on 4 variables, time, return, liquidity of security, and probability of failure. For a set of potential trades I first ...
1
vote
2answers
206 views

What Matlab packages to I need as a Risk Analyst?

What toolbox are more suitable for a risk analyst. I found this: Optimization toolbox Global optimization toolbox Econometrics toolbox Financial toolbox Statistics toolbox And also I have as a ...
7
votes
1answer
290 views

Consistency of economic scenarios in nested stochastics simulation

I am interested in references on research regarding the consistency of economic scenarios in nested stochastics for risk measurement. Background: Pricing by Monte-Carlo: For pricing complex ...
6
votes
1answer
157 views

When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
0
votes
1answer
24 views

What are the different Credit Portfolio Management models and what are their advantages?

CreditMetrics, RiskMetrics(Algorithims), etc. are all different risk methodologies used by many banks. However, what are their advantages/disadvantages? I would appreciate your replies!
0
votes
1answer
148 views

How to projectP&L or drawdowns on pair trading , trading and portfolios?

This is for planning and risk management. I am stuck on the following thoughts - Back-test the trading strategy for a period similar to the one you expect and then project. Do the above using ...
-1
votes
1answer
65 views

conservative approach payoff table

With the conservative approach, we choose the decision which maximises minimum payoff. I was wondering which decision is chosen if 2 decisions have equal minimum payoff (which is the maximum)? ...
-1
votes
1answer
74 views

Math basics of Equally-weighted Risk contributions

i'm writing my BA Thesis about "Equally-weighted Risk contributions". Can anyone recommend math books for further understanding of Risk contributions?
-3
votes
1answer
135 views

What's the disadvantage of ARMA-GARCH model?

I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model.
7
votes
0answers
194 views

Regression in liquidity risk model of Jarrow/Protter

In the paper "Liquidity Risk and Risk Measure Computation" authors describe a linear supply curve model for liquidity risks in presence of market impact, i.e. impact-affected asset price $S(t,x)$ is ...
6
votes
0answers
466 views

Examples of Spectral Risk Measures

Let's take the usual definition of a spectral risk measure. If we look at the integral we see that spectral risk measures have the property that the risk measure of a random variable $X$ can be ...
3
votes
0answers
53 views

What are recent important papers on credit portfolio risk modeling?

I'm interested in papers which consider mathematical models of risks of different portfolios of retail credit. This is not my area of research, so I may be misusing some terms. The idea is simple: I ...
2
votes
0answers
67 views

Beta distribution - Holding period

Let's say I have a risk factor that is defined between [0,1], such as recovery rates. Assuming I have daily data, I can estimate the "daily VaR", i.e. the tails over 1 day period, since the data is ...
2
votes
0answers
753 views

What is the best alternative of Quantlib library

We need to build a Fixed Income Portfolio Risk Analytics solution. Somehow due to administrative reason we can't use Quantlib which is written in C++, even call it through SWIG via JNI. We have tried ...
2
votes
0answers
118 views

Quantitative risk management strategy for a large participant in an illiquid market

Are there any practical quantitative risk management strategies for a large participant in an illiquid market with a few dominant players? By a large partcipant I mean someone who has significant ...
1
vote
0answers
23 views

How to calculate global exposure via commitment approach for FX swaps?

How would you calculate global exposure for FX swaps using the commitment approach? In particular, would you take into account both legs? CESR guidelines (CESR/10-788) defines that the exposure for ...
1
vote
0answers
46 views

Fixed Income risk attribution in the historical simulation of a sovereign bond portfolio

We use historical simulation for risk analysis. I.e. for each bond there is a repricing of the form $$ P_j = PV(\text{yield curve in scenario } j), $$ where the yield curve is the zero rates curve of ...
1
vote
0answers
61 views

Risk measures, Risk Management and Financial Risk Area

I'm currently searching material about market risk and I learned about coherent risk measures, VaR, CVaR (or expected shortfall), volatility. All that because I have to make a Financial Risk Area for ...
1
vote
0answers
17 views

Standard errors clustered along the time dimension in pooled panel logit model

I'm trying to estimate a logit model on pooled panel data set (unit of observation is firm-year). My dependant variable is default indicator and I have several macro variables as independant ...
1
vote
0answers
33 views

Doubt on risk cost criterion

I want to minimize some kind of risk sensitive cost. But, I am confused what cost criterion should I use. I am aware of only expected exponential utility. I want to know what are the other such ...
1
vote
0answers
45 views

proper choice of risk aversion parameter in the risk-sensitive cost-criterion

Suppose I want to minimize certain risk sensitive cost. Is it a valid question to ask what is the proper (also in which sense) choice of risk aversion parameter in the risk-sensitive cost-criterion ? ...
1
vote
0answers
166 views

regarding Basel III IRB method for credit risk

Would the exposures between standard method and internal rating based method for credit risk under Basel III remain same?I could not find any documents for IRB approach under Basel III. Is it still ...
1
vote
0answers
88 views

How to show that the risk contribution function is or is not injective?

Assume a portoflio $w \in \mathbb{R}^n$, you can get the total risk contribution $\psi_i$ of asset $i$ by doing: $$\psi_i = w_i \frac{\partial \sigma(w)}{\partial w_i}= \frac{1}{\sigma(w)} \left[ ...
1
vote
0answers
162 views

Market Exposure and Hedging

Normally the Market exposure associated with your stock/portfolio is your delta for that stock/ portfolio. Basic idea of hedging involved here is buying/selling respective futures depending upon ...
0
votes
0answers
25 views

Solvency Problem for Financial Institutions

According to my finance lecture, the motivation for risk measures is grounded in the solvency problem: Risk measures are used to determine the amount of capital to avoid insolvency of the financial ...
0
votes
0answers
52 views

risk report factor exposures calculations

I am looking at a risk report which I have inherited. There are 5 lines of code that I want to make sure I understand. The risk report breaks down the exposures, contribution to variance and marginal ...
0
votes
0answers
6 views

Institutional compliance : is reference data available via the browser?

That is, assuming one has the correct accounts and credentials, is it possible to access reference data (counterparty, trading, and other categories of related meta-data) over the web? The reason I ...
0
votes
0answers
59 views

At what point does it make sense to start using a system?

This is an issue I've been struggling with for quite a while, and haven't found a satisfactory answer yet. The basic problem is this: Lets say you set up a black box system which gives you anywhere ...
0
votes
0answers
61 views

Minimum PD under Basel II retail asset?

I have been told that under Basel II the minimum PD that one can assign to any portfolio/segment classified under the retail asset class is 0.33%. But Google searches return nothing and I can't seem ...