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Resource Center Overview White Papers Academic Papers Risk Measures Hedge Funds Risk and Replication Factor Identification and Modeling Time Series Portfolio Construction Option Pricing and Model Calibration Credit Other Research Papers by the Riskdata team Current VaR Technology Risk Ticker	Academic Papers This section contains references to articles both by Riskdata research department and by other authors. They are divided into categories relevant to quantitative finance and Riskdata models: Risk Measurement and Management, Hedge Funds Risks and Replication, Factor Models, Credit Modeling, Instrument Pricing and Model Calibration. Risk Measures Risk modeling is probably one of the most important research fields in risk analysis, because of its impact on financial institutions, their trading capabilities, their capital requirements and, eventually, their survival. Important progress was made recently in assessing more and more complex securities, including credit derivatives. Currently, risk research addresses three major issues: measurement methodology, with an aim of taking the right decision upon meaningful figures, statistical techniques - to provide estimates as accurate as possible, and, finally, testing and case studies, which really assesses the validity of the whole risk system, from measurement to decision making. View Risk Measures Articles Hedge Funds Risk and Replication View Hedge Funds Risk and Replication Articles Factor Identification and Modeling Identification of major risk factors have, and will be one of the safest ways to navigate in a complex environment, such as capital markets. Their joint behavior and their impact on traded assets require pragmatic observation with permanent update. This section is a selection of academic articles on factor models, factor selection and construction. View Factor Identification and Modeling Articles Time Series In this section, we propose a list of academic articles on time series analysis and econometrics. Some techniques have particularly drawn our attention: nonlinear models, dynamic models (incl. the ARCH family), co-integration and causality theory. View Time Series Articles Portfolio Construction View Portfolio Construction Articles Pricing Instrument pricing has been, in the past decades, one of the most active research topics in mathematical finance, especially for options and fixed income related securities. Two approaches have seen major advances lately: the Monte Carlo method, because of its flexibility and of the increase of computing speed, and approximate closed forms, because they provide quasi-immediate acceptable figures. Here are a few articles in this field. View Pricing Articles Credit View Credit Articles Other Riskdata Team Articles View Other Articles	“Much of what distinguishes modern economies from those of the past is the new ability to identify risk, to measure it, to appreciate its consequences, and to take action accordingly.” Michel Crouhy, Dan Galai, and Robert Mark The Essentials of Risk Management Latest Case Study Texas Treasury Safekeeping Trust Company Risk Management Endowment Adopts Risk Budgeting Strategy and Selects Riskdata To Implement New Approach VIEW ALL >>

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Resource Center

Academic Papers

This section contains references to articles both by Riskdata research department and by other authors. They are divided into categories relevant to quantitative finance and Riskdata models: Risk Measurement and Management, Hedge Funds Risks and Replication, Factor Models, Credit Modeling, Instrument Pricing and Model Calibration.

Risk Measures

Risk modeling is probably one of the most important research fields in risk analysis, because of its impact on financial institutions, their trading capabilities, their capital requirements and, eventually, their survival. Important progress was made recently in assessing more and more complex securities, including credit derivatives. Currently, risk research addresses three major issues: measurement methodology, with an aim of taking the right decision upon meaningful figures, statistical techniques - to provide estimates as accurate as possible, and, finally, testing and case studies, which really assesses the validity of the whole risk system, from measurement to decision making.

View Risk Measures Articles

Hedge Funds Risk and Replication

View Hedge Funds Risk and Replication Articles

Factor Identification and Modeling

Identification of major risk factors have, and will be one of the safest ways to navigate in a complex environment, such as capital markets. Their joint behavior and their impact on traded assets require pragmatic observation with permanent update.

This section is a selection of academic articles on factor models, factor selection and construction.

View Factor Identification and Modeling Articles

Time Series

In this section, we propose a list of academic articles on time series analysis and econometrics. Some techniques have particularly drawn our attention: nonlinear models, dynamic models (incl. the ARCH family), co-integration and causality theory.

View Time Series Articles

Portfolio Construction

View Portfolio Construction Articles

Pricing

Instrument pricing has been, in the past decades, one of the most active research topics in mathematical finance, especially for options and fixed income related securities. Two approaches have seen major advances lately: the Monte Carlo method, because of its flexibility and of the increase of computing speed, and approximate closed forms, because they provide quasi-immediate acceptable figures. Here are a few articles in this field.

View Pricing Articles

Credit

View Credit Articles

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Terms of use & legal information Copyright © 2008-2011 Riskdata. All rights reserved.
Resource Center Overview White Papers Academic Papers Risk Measures Hedge Funds Risk and Replication Factor Identification and Modeling Time Series Portfolio Construction Option Pricing and Model Calibration Credit Other Research Papers by the Riskdata team Current VaR Technology Risk Ticker	Academic Papers This section contains references to articles both by Riskdata research department and by other authors. They are divided into categories relevant to quantitative finance and Riskdata models: Risk Measurement and Management, Hedge Funds Risks and Replication, Factor Models, Credit Modeling, Instrument Pricing and Model Calibration. Risk Measures Risk modeling is probably one of the most important research fields in risk analysis, because of its impact on financial institutions, their trading capabilities, their capital requirements and, eventually, their survival. Important progress was made recently in assessing more and more complex securities, including credit derivatives. Currently, risk research addresses three major issues: measurement methodology, with an aim of taking the right decision upon meaningful figures, statistical techniques - to provide estimates as accurate as possible, and, finally, testing and case studies, which really assesses the validity of the whole risk system, from measurement to decision making. View Risk Measures Articles Hedge Funds Risk and Replication View Hedge Funds Risk and Replication Articles Factor Identification and Modeling Identification of major risk factors have, and will be one of the safest ways to navigate in a complex environment, such as capital markets. Their joint behavior and their impact on traded assets require pragmatic observation with permanent update. This section is a selection of academic articles on factor models, factor selection and construction. View Factor Identification and Modeling Articles Time Series In this section, we propose a list of academic articles on time series analysis and econometrics. Some techniques have particularly drawn our attention: nonlinear models, dynamic models (incl. the ARCH family), co-integration and causality theory. View Time Series Articles Portfolio Construction View Portfolio Construction Articles Pricing Instrument pricing has been, in the past decades, one of the most active research topics in mathematical finance, especially for options and fixed income related securities. Two approaches have seen major advances lately: the Monte Carlo method, because of its flexibility and of the increase of computing speed, and approximate closed forms, because they provide quasi-immediate acceptable figures. Here are a few articles in this field. View Pricing Articles Credit View Credit Articles Other Riskdata Team Articles View Other Articles	“Much of what distinguishes modern economies from those of the past is the new ability to identify risk, to measure it, to appreciate its consequences, and to take action accordingly.” Michel Crouhy, Dan Galai, and Robert Mark The Essentials of Risk Management Latest Case Study Texas Treasury Safekeeping Trust Company Risk Management Endowment Adopts Risk Budgeting Strategy and Selects Riskdata To Implement New Approach VIEW ALL >>