Tag Archives: Financial risk

Market risk officers are overstretched, does anyone care?

Originally posted on Stonegate Search:
Throughout every sell-side market risk function I know pretty much every Managing Director (or equivalent) has been complaining about the amount of time they have to spend dealing with regulators. At first it was a…

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Duration and Portfolio Immunization Duration and Portfolio Immunization. Macaulay duration … Example. Bond Market value Portfolio weight Duration. A $10 million 0.10 4. B $40 million 0.40 7.

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Swaps: Interest rate swap duration Interest rate swaps have a duration?

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Risk management and compliance for hedge funds migrate to the front office – Risk.net

Risk management and compliance for hedge funds migrate to the front office – Risk.net.

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Buy Vs. Sell-Side Risk Information : Time to Differentiate between “Your Risk” and “My Risk” Reports ….

Well we all are accustomed to reading “Buy” and “Sell-Side” Investment Evaluation Reports prepared by Financial Research Analysts at various FIs such as Investment Companies operating in the Financial Markets. However there seems to be very little focus on developing … Continue reading

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Multi-asset risk measures. We study risk measures for financial positions in a multi-asset setting, representing the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate … Continue reading

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Comparison between Basel II/III and Solvency II   The aim of this paper is to conduct a comprehensive but concise in-depth comparison between Basel II/III and Solvency II

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