Duration and DV01 (dollar duration) measure price sensitivity and provide the basic risk measure for bonds, swaps, and … other fixed income instruments. When valuing instruments off a yield curve, duration and DV01 naturally extend to a vector … reviews the concepts of partial DV01 and duration and then discusses a simple method for transforming partial DV01s between …

I study the consequences of a random exposure to common risk for the purpose of relative performance evaluation (RPE … magnitude of the exposure risk not only determines how firms aggregate measures of common risk with measures of firm performance … but also the extent to which the firms can control the impact of common risk on their own performance. Simulated …

strategic manager and strategic management researcher, chapter five shows how ABRM can be used to integrate risk measures in the … diversifiable risk from portfolio investment is less than it might appear when using models derived from market data …

This study investigates whether audit market competition influences the risk profile of audit offices' client … portfolios and whether an audit office's client risk profile affects the association between audit market competition and audit … quality. Economic theory suggests that market competition can affect a company's risk-taking, but there is limited evidence on …

of a firm’s familiarity with another firm’s business downsides using similarity of their risk factor descriptions. We …-sectional tests show the effect to be driven primarily by deals in which the acquirers have a weaker risk management capacity or face …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …

Lecture notes for Quantitative Portfolio Management Module 5 - Measuring and Managing Risk …

mean-variance optimization and static risk-parity approaches, which are static. Dynamic beta lowers the overall risk of the … fund — where risk includes volatility of returns plus drawdown — while earning a positive return. A dynamic beta program … implemented through an overlay and customized to each investor's needs can help manage portfolio risk from an asset …

This paper investigates two risk-management techniques originally created for stock market momentum strategies, i.e. a … macroeconomic risk factors, but limits to arbitrage (stemming from high idiosyncratic volatility) are a potential source of currency …