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Introduction to Risk Parity and Budgeting
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
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Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics
Chun, So Yeon; Shapiro, Alexander; Uryasev, Stan - Volkswirtschaftliche Fakultät, … - 2011
We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...
Persistent link: https://www.econbiz.de/10009278294
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Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in...
Persistent link: https://www.econbiz.de/10011109458
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A mathematical resurgence of risk management: an extreme modeling of expert opinions
Guegan, Dominique; Hassani, Bertrand - HAL - 2011
The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...
Persistent link: https://www.econbiz.de/10011025772
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The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its...
Persistent link: https://www.econbiz.de/10010899196
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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES...
Persistent link: https://www.econbiz.de/10010821003
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Generalized Marginal Risk
Keel, Simon; Ardia, David - Volkswirtschaftliche Fakultät, … - 2009
An important aspect of portfolio risk management is the analysis of the overall risk with respect to the allocations to the underlying assets. Marginal risk is the traditional tool used by portfolio managers to accomplish this. However, this metric is only meaningful when a position is levered...
Persistent link: https://www.econbiz.de/10005103419
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Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2013
results in insignificant abnormal hedge returns. In contrast, investing based on the inflation effect on companies …’ nonmonetary holdings consistently yields economically and statistically significant abnormal hedge returns. These findings … indicate that inflation-based abnormal hedge returns are driven not by the exposure of companies’ net monetary holdings to …
Persistent link: https://www.econbiz.de/10011259622
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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10010738735
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Climate policies as a hedge against the uncertainty on future oil supply
Rozenberg, Julie; Hallegatte, Stéphane; Vogt-Schilb, Adrien - HAL - 2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10009647577