Mastering Risk Sponsored by Numerix
In today’s increasingly complex markets, knowledge is power, and maintaining control is a matter of survival. Given the intensifying demands for greater transparency, stronger risk awareness, and tighter enterprise governance, the ability to analyze exploding volumes of data to improve decision making no longer is an option – it’s the only way to understand your positions, value assets, know your counterparties, and avoid disaster.
Telling Both Sides of the Story on Risk
Kayla Kayla, Tree Consulting13 May 2014
Traditionally, buy-side institutions have used factor models to pinpoint, through attribution, the sources of risk in a portfolio or fund. Sell-side investment banks, on the other hand, have more typically...
Opinion & Analysis
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Call Protection – Is it as Weak as it Seems?
(Xtract Research LLC, Robert Blank)
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Interest Rate Risk: The Fed and the Market
(Lucena Research, Tucker Balch)
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The Evolution of CCAR Only Adds Stress
(Alphacution Research Conservatory, Paul Rowady)
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KYC: The Other Counterparty Risk
(Alphacution Research Conservatory, Paul Rowady,Markit, Lansing Gatrell)
News
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Can This Be Good? China Looks To Build Out Risky Derivatives Market
('Forbes')
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BlackRock’s Fink jolts ETF business with ‘blow up’ warning
('Reuters')
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EMIR Changes the Collateral Management Servicing Game: Costs and Considerations
('DerivSource')
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Big investors replace banks in $4.2tn repo market
('FT)($')
MAT Swaps: The Other Shoe Drops on Packaged Transactions
Kayla Kayla, Tree Consulting,Kayla Kayla, Tree ConsultingWhen the CFTC issued its made-available-to-trade (MAT) ruling for certain swaps in February, it generated considerable discussion, and one of the most discussed subjects was packaged transactions, where multiple swaps,...
ContinueAdditional Resources
- Crowded Trades: An Overlooked Systemic Risk for Central Clearing Counterparties
VU University Amsterdam; Tinbergen Institute - Tinbergen Institute Amsterdam (TIA); Duisenberg School of Finance, Albert J. Menkveld
- Three Common Myths That Will Cause You to Hit the “Risk Iceberg”
Red Swan Risk, John Matwey
- Model Risk: The Challenges of Legacy Code and Best Practices
Numerix, David Eliezer
- Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
American Mathematical Society , David H. Bailey, Jonathan M. Borwein, Marcos Lopez de Prado, Qiji Jim Zhu