The properties and analytical derivation of risk measures and their sensitivities to asset allocations is now established as an important issue for portfolio management and optimisation. This is particularly so for credit portfolios, where the risk is highly asymmetrical (Artzner et al, 1999, Gouriéroux, Laurent & Scaillet, 2000, Martin, 2004, Martin, Thompson & Browne, 2001, Martin & Ordovás, 2006).
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The week on Risk.net, October 6-12, 2017Receive this by email
- Quantile, TriOptima face off in cleared swaps compression battle
- ABS set for revival under US Treasury’s liquidity buffer plans
- Deutsche Bank expects early 2018 decision on LCH exit
- Industry hails potential US relaxation of margin timing rules
- Leaked EU doc could shield legacy swaps from clearing grab