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

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.

Stress VaR

The Differences Between The Stable VaR and The Stress VaR

Authors: Riskdata Research Department
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The Pro-Cyclical Nature of Linear VaR Measures: Should a Risk Measure Be Reactive or Anticiative?

Authors: Riskdata Research Department
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The StressVaR: A New Risk Concept for Superior Fund Allocation

Authors: Cyril Coste, Raphael Douady, Ilija I. Zovko
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Risk Primers

These presentations and articles provide important guidelines for risk measurement and risk management.

How Factor Analysis Can Detect Time Bombs?

Description: Presentation on general Risk Management principles
Authors: Raphael Douady
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Mathematical Challenges in Finance

Description: Presentation for Pathway Lecture at Keio University Center of Excellence: 1) Market statistics 2) Option pricing 3) Portfolio construction
Authors: Raphael Douady
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The Factor VaR: A New Approach to Better Estimate Risk

Authors: Cyril Coste, Raphael Douady, Ilija Zovko
(paper not finished yet, will post soon)

VaR Back-testing Techniques

These references show the various classical and less classical techniques for assessing the validity of risk estimation.

Backtesting VaR Models: An Expected Shortfall Approach

Authors: Timotheos Angelidis, Stavros Degiannakis
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How Accurate are Value-at-Risk Models at Commercial Banks?

Authors: Jeremy Berkowitz, James O'Brien
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Backtesting VaR models: Quantitative and Qualitative Tests

Authors: Carlos Blanco and Maksim Oks
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A Review of Backtesting and Backtesting Procedures

Authors: Sean D. Campbell
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The Practice of Delta-Gamma VaR: Implementing the Quadratic Portfolio Model

Authors: Guiseppe Catellacci, Michael J.Siclari
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Backtesting Value-at-Risk: A Duration-Based Approach

Authors: Peter Christoffersen, Denis Pelletier
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Development of Systematic Backtesting Processes of Value-at-Risk

Authors: Kimmo Lehikoinen
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FOFIX Research New VaR Back-testing Results

Authors: Raphael Douady, Olivier Le Marois
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Risk Measures from Factors

On Measuring Hedge Fund Risk

Authors: Alexander Cherny, Raphael Douady, Stanislav Molchanov
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On Measuring Risk with Scarce Observations

Authors: Alexander Cherny, Raphael Douady, Stanislav Molchanov
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New Measures for Performance Evaluation

Authors: Alexander Cherny, Dilip Madan
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Others

More Stylized Facts of Financial Markets: Leverage Effect and Downside Correlations

Authors: Jean-Philippe Bouchaud, Marc Potters
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Risks of Investing in the Russian Stock Market: Lessons of the First Decade

Authors: Alexei Goriaev, Alexei Zabotkin
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"Risk Management" et Transparence des Risques Financiers

Authors : Raphael Douady, Olivier Le Marois

The Statistics of Sharpe Ratios

Authors: Andrew W. Lo
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Dynamics of Implied Volatility Surfaces

Authors: Rama Cont, José Da Fonseca
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“This is a challenging and exciting time. Risk managers and senior executives should be seeking more from risk management. Their role needs to evolve as financial institutions increasingly recognize the opportunities and value of a better understanding of risk.”

Phil Rivett
PricewaterhouseCoopers UK