Risk Management Debt and Deleveraging: Uneven Progress on the Path to Growth The McKinsey Global Institute In the aftermath of the global financial crisis, major economies are just beginning to address issues of debt and deleveraging needed to lay a foundation for renewed economic growth. More Operational Due Diligence as a Source of Alpha Opalesque This video examines operation risk including the challenges in measurement due to multidimensional characteristics, separating out operational and market risk, and the absence of reliable data. More Foundations of Sand Risk Advisory Reliance on quantitative models alone without a healthy dose of judgment is like building on a house of sand, it is destined for failure. More Strategies for Controlling Risk Pensions & Investments This video examines the concept of a glidepath where analysis of current investments and risk level combined with future goals provides a path to investing success. More Rethinking the Equity Risk Premium Webcast Many investors regard the past decade as an unusual one for market returns. One of the key features of this turbulent period is the renewed uncertainty about what may be the most important measure in all of finance — namely, the equity risk premium. More Debt and Deleveraging: Uneven Progress on the Path to Growth Operational Due Diligence as a Source of Alpha Foundations of Sand Strategies for Controlling Risk Rethinking the Equity Risk Premium From the 65th Annual Conference BNN Clip: We Don’t Rate Countries, We Rate Governments Says Fitch Ratings’ David Riley 17 May 2012 Fitch's group managing director of sovereign and supranational ratings discussed his outlook for Europe and the United States in an interview with BNN's Business Day. Read More View all From the Blog Just Released: CFA Magazine (May/June 2012) Jennifer Curry 21 May 2012 Will a currency war lead to a collapse of investor confidence? This issue's cover story examines the possible outcomes. Read more → JPMorgan Chase and the London Whale: Understanding the Hedge That Wasn’t Ron Rimkus, CFA 17 May 2012 How exactly does one "hedge" a book of commercial loans — JPMorgan’s traditional banking business — by writing protection on other companies’ paper, thereby gaining loss exposure to these other loans? Here's why calling the trades complex, poorly monitored, and poorly understood is an understatement. Read more → Bankable Insights: Overcoming Anxiety Is Key to Investment Success Jason Voss, CFA 16 May 2012 Anxiety is an instinctively powerful force that stands in the way of good investment decisions. Here are some timeless tips for overcoming its effects. 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If designed well, it enables ...Deliberations on Low Volatility Investing and 50th Anniversary DrinksLow-volatility investing is gaining momentum amongst institutional investors, mostly triggered by the financial crises we have ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...CFA Institute / INSEAD: Global Investors WorkshopDiscover how the newest practices in asset valuation, portfolio construction, and investment firm management can work for your ...Counterparty Risk, Credit Exposure and CVAThis course explains and describes counterparty risk and the quantification and management of CVA. 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Managing Risk Management in a New EnvironmentThis two-day session will provide an executive overview of Enterprise Risk Management with special emphasis on the importance of ...Managing Risk Management in a New EnvironmentThis two-day session will provide an executive overview of enterprise risk management with special emphasis on the importance of ...Debt and Deleveraging: Uneven Progress on the Path to GrowthIn the aftermath of the global financial crisis, major economies are just beginning to address issues of debt and deleveraging ...What are the Risks of European ETFs?This EDHEC - Risk Institute report highlights issues of European ETFs including their UCITS framework, counterparty risks, ...CDSs: Lubricant or Landmine?Credit default swaps are instruments to improve the management of credit risk but may represent a source of contagion risk in a ...Volatility Concepts and Tools in Risk Management and Portfolio Construction Understanding the dynamics of realized volatility is critical to effective investment management and portfolio risk management. ...Portfolio Construction and Risk Management for Sovereign Wealth Funds The management of sovereign wealth funds involves the fundamental problems of investor preferences, portfolio construction, and ...Think Differently: Off-the-Grid Economic IndicatorsNicholas J. 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Why China’s Exchange Rate Is a Red Herring and Other Investment StoriesAs investors think about future returns, they should focus on their risk capacity rather than their current appetite for risk and ...Advances in Risk Management and Risk GovernancePortfolio managers often rely on standardized statistical tools to measure portfolio risk. But this approach to risk management ...Managing Portfolio Risk over Short HorizonsModern portfolio theory assumes one very long time horizon. This article discusses how to manage risk over shorter horizons that ...How to Make a Black-Swan Tactic FlyThis article describes the financial and U.S. tax implications of using an out-of-the-money protective put strategy to protect ...Managing Volatility of Emerging Markets Bud Haslett, FRM, CFA, and Matthew T. Moran present an overview of implied and historic volatilities for key emerging markets, ...How Long Can China Grow? 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Kaplan, CFA, shares his analysis of the Synthetic Risk and Reward Indicator (SRRI) that has been introduced by the ...Capturing the Market, Value, or Momentum Premium with Downside Risk ControlThis paper from EDHEC analyzes using a dynamic core satellite strategy to manage downside risk while exploiting value and ...A Practical Guide to Risk ManagementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...The Limits to Arbitrage Revisited: The Accrual and Asset Growth AnomaliesUsing idiosyncratic volatility as a proxy for arbitrage costs, the authors found that the highly publicized accrual and asset ...Managing Emerging Market RiskPIMCO's Masha Gordon discusses how investing in emerging markets represents secular opportunities, but cyclical challenges ...Awareness of Risk Growing, Dealing with Risk Lagging Although institutional investors are far more aware of the risk involved, they are not necessarily in a better position to deal ...Certificate in Quantitative Finance - OnlineThe Certificate in Quantitative Finance (CQF) is a six-month part-time course for individuals working in, or intending to move ...Pension Investing Assuming True Uncertainty (Japanese Language Version)Daisuke Hamaguchi argues that asset management based on the mean variance model of modern portfolio theory is not working, ...Risk Master Addresses Hedge Fund RiskDeepak Gurnani addresses risk management as it relates to hedge fund investments, including an analysis of managed accounts and ...Estimating Portfolio Return Expectations The panelists discuss the outlook for various asset classes. Topics include the strategic horizon perspective and the ...Inflation: An Ounce of ProtectionInflationary pressures are already a problem in much of the world. An allocation to real assets, however, can ...66th CFA Institute Annual ConferenceThe risk, opportunities, and challenges facing the global investment profession are as complex as ever and investment ...Predatory Trading, Crowded Exits, and Other Unusual Risks in Short SellingJames B. Clunie, CFA, ASIP, examines the vulnerabilities of short sellers that many investors and firms fail to recognize ...A Sociologist’s View on Credit Derivatives (Take 15 Series) Donald MacKenzie gives a sociologist’s perspective on the capital markets and discusses how cultural differences within firms ...The Evolution of Risk ManagementStan Beckers explores several risk management issues and questions, including whether the underlying theories and assumptions of ...Gold as an Asset Class Marcus Grubb discusses the role of gold in the commodity super cycle and how the supply and demand will unfold in 2011 and ...Hoping for the Best, Preparing for the Worst . . . in Japan Dylan Grice describes Japan’s unprecedented predicament of being a large creditor nation with a bankrupt government and a ...Managing Unquantifiable Portfolio Risks: Politics, Policy, and GeopoliticsPippa Malmgren discusses the importance of understanding the relationship between inflation and recent geopolitical developments. ...Farewell, Punch Bowl: From Inflation Targeting to Credit Targeting Russell Napier, ASIP, argues that central bankers are now targeting credit growth instead of inflation. 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Hedging Currency Risk with DerivativesThis course examines currency risk and compares alternative hedging strategies using forward contracts and over-the-counter ...Loan StructuringThis course will introduce you to the elements of structuring a loan from both the borrower's and the lender's point of view. You ...Portfolio Management of Credit AssetsCredit portfolio managers are concerned not only with the standalone risk of individual loans but also with portfolio risk. This ...Understanding UncertaintyA background in the basic principles of uncertainty is essential to understanding all kinds of risk. This course presents an ...Portfolio ReturnsThis course defines a portfolio of securities and explains how to track its performance through portfolio returns. Continuing ...Portfolio RiskPortfolio returns only gain real significance when the amount of risk taken to obtain those returns is considered. This course ...Monte Carlo Simulation and VARThis course explains how Monte Carlo simulation is used for computing value-at-risk (VAR), particularly for complex portfolios ...Operational Risk: Quantification and MitigationThis course examines the importance of operational risk in today's financial environment. The course describes operational risk ...Portfolio DiversificationThis course explains the mechanics behind portfolio diversification, particularly how each element of a portfolio affects its ...Probability Distribution of ReturnsThis course illustrates how past returns can be used to predict future returns. Continuing Education Information As a ...Value-at-Risk (VAR)This course introduces Value-at-Risk or VAR, a measure used by financial practitioners to quantify their exposure to ...Introduction to Monte Carlo SimulationThis course describes Monte Carlo simulation, a technique that uses random numbers to calculate possible future returns based on ...Operational Risk FundamentalsThis course is an introduction to operational risk. The course examines the importance of operational risk in today's financial ...Financial Reforms, Future Risk Management, and Developing Investment Opportunities The financial bubbles and crises that have affected the world’s markets and economies during the past five years have created ...Asset and Risk Management in a Post-Crisis MarketInvestors have learned from the global financial crisis that markets are adaptive, complex networks and that risk is not ...Risk Management Applications of Option StrategiesCh. 7, Analysis of Derivatives for the CFA® Program, Don Chance, CFA (AIMR, 2003) Equity Risk Premiums (Take 15 Series) Clifford S. Asness discusses a recent roundtable meeting on the equity risk premium (ERP) where forecasts for the future ERP ...‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management"The Prayer" is a recipe of ten sequential steps for all portfolio managers, risk managers, and algorithmic traders ...The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice (a review)This book expands the discussion of how to structure the investigation of risks that do not easily fall into measurable buckets. ...Measuring Global Systemic Risk: What Are Markets Saying about Risk?The authors present a set of three models that they believe gives practitioners the ability to identify systemic risk ...Funds Begin to Move Risk to Center StageFollowing the financial crisis, many pension funds have been turning more attention to risk management than they have ...Hedge Fund Contagion and Liquidity ShocksDeclines in asset liquidity and difficulties in funding leveraged positions are common factors leading to negative ...A Primer for Investment Trustees This “primer,” written as if addressed to a new trustee for a university, is a comprehensive discussion of investment issues ...Survey of Derivative Risk Management PracticesThis report from the Financial Services Authority analyses derivatives risk management practices in the investment management ...Comment Letter to U.S. SEC on SOX 404(b) Compliance Study Required by Dodd-Frank ActThe Problems of "Absolute Returns"This article discusses the problem with absolute returns including proper due diligence, long-short positions that both move ...Better Information, Better Decisions: The Risk and Compliance Challenge for Financial InstitutionsIdentifying, assessing, measuring, and communicating risk are critical components to a successful risk management program. This ...Advisers Using ALM TechniquesThis article discusses asset liability management for private clients and pension funds from a risk management perspective. Diversification Is Not Sufficient for Managing RiskThis article discusses the fundamental premises for diversification and how they impact the risk management decision-making ...Should Asset Management Firms Hedge Their “Fees at Risk”?Asset management firms often experience swings in their revenues and profits due to changes in asset-based fees. In 2008, they ...Currency Considerations in an International PortfolioTarun Ramadorai argues that conventional theories of exchange rates do not work. He also discusses the returns and risks of ...Rethinking Risk Measurement and Reporting: Volume IIThis book examines market, credit, and operational risk and how these risks can be better identified, measured, and expressed. An Integrated Approach to Asset-Liability ManagementThis article from EDHEC examines the impact leverage decisions have on the fair value of pension liabilities and the factors ...End Score Can hedge fund operational risk be quantified? A scoring model described in a Graham and Dodd award-winning article estimates ...Index Volatility in PerspectiveThe author examines the volatility of various indices from different perspectives to assess trends that can help in rebalancing ...Extreme Risk AnalysisEffective risk management requires identifying sources of risk and understanding their effects on a portfolio’s overall risk. The ...Identifying Sources of Correlation in Global Equity Portfolios One challenge for global equity managers is keeping track of correlations between the sources of risk in their portfolios. In the ...Portfolio Investing and Political Risk in Emerging MarketsAlison Adams identifies tradable versus nontradable political risks and explains how investors can use political risk to maximize ...Investment Management after the Global Financial Crisis The investment industry was severely affected by the global financial crisis of 2007–2009, and changes will have to occur. In ...Managing Portfolio Risk in Today's Changing Environment In the wake of the recent congressional passage of financial reforms, banks, hedge funds, and other financial firms are ...Applying Asset Liability Management to Private Wealth Management (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Singapore Hedge Funds 2010 - Opalesque Roundtable SeriesThe article consists of an interview with eight Singapore-based hedge fund participants as they discuss risks and challenges in ...Corporate Governance of Asian CompaniesAt a CFA Society of Japan event, David Smith discusses the evolution and broad definition of corporate governance in Asia and ...Risk Management: Foundations for a Changing Financial WorldThis collection of previously published articles from various CFA Institute publications provides investment professionals with a ...Debate: Two Years After LehmanThis webcast provides a discussion of what has and is likely to change for European investment and commercial banks two years ...Skulls, Financial Turbulence, and Risk Management Based on a methodology introduced in 1927 to analyze human skulls and later applied to turbulence in financial markets, this ...Exploiting VolatilityAlthough volatility may rise and fall, it is always there. Moreover, the current high levels of volatility and ...Monitoring Managers: How to Avoid Another Madoff Rebuilding the confidence of the investor base continues to be one of the greatest challenges facing the hedge fund industry. ...Predicting Hedge Fund Failure: A Comparison of Risk MeasuresThe authors demonstrate that downside risk measures are more effective in predicting hedge fund failures than traditional risk ...Longevity Swaps Previously, annuities were the primary tool to manage mortality risk. Now longevity swaps can also be used to manage this type ...Due Diligence and Hedge Fund InvestingIn this webcast, Stephen J. Brown looks at the importance of operational due diligence for institutional hedge fund investors, at ...Risk Management in Fund of Funds Portfolios (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Best Practices for Portfolio RebalancingThe authors demonstrate that risk-adjusted returns are not meaningfully different whether a portfolio is rebalanced monthly, ...Capital Management This presentation on the topic of capital management as it applies to managing wealth was given in Guangzhou, China. Concepts ...Rethinking Risk and DiversificationThe Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Volatility and Tax-Aware Investment Management (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Wealth Preservation for Long-Term Global Investors: Actively Hedging U.S. Dollar Asset Values In this webcast, Ronald Liesching discusses whether the U.S. dollar is the best currency unit in which to store wealth, the ...Issues in Operational RiskPenny Cagan interviews Man Group’s Jonathan Howitt on operational risk issues including current trends and whether these trends ...Estimating Market Volatility with Sentiment Data (Take 15 Series) The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Applying Financial Engineering to Wealth Management (Take 15 Series) The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...The Art and Science of Hedge Fund Manager Selection In this webcast, Ted Seides, CFA, discusses the following: Understanding the manager selection process Analyzing the ...Issues in Risk Management (Take 15 Series) The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Associate PRM Risk Management Training Webinar Series Designed by industry leaders, the Associate PRM Risk Management Training Webinar Series covers the core concepts of risk ...The Myth of Diversification Diversification is one of the pillars of asset allocation. The authors argue, however, that investors typically assess ...Adaptive Asset Allocation Policies This article proposes an asset allocation policy that adapts to market movements by taking into account changes in the ...Global Currency Hedging During 1975–2005, world equity markets were negatively correlated with oscillations in the U.S. dollar, euro, and Swiss franc ...Number-Crunchers Crunched Financial models are being blamed for their role in the recent financial crisis. In particular, critics say, models failed to ...Another Look at Portfolio Optimization under Tracking-Error Constraints Research has shown that adding constraints to total portfolio volatility can substantially improve the performance of managed ...Adaptive Asset Allocation Policies This article proposes an asset allocation policy that adapts to market movements by taking into account changes in the ...Lunch with a Laureate: Robert MertonIn this video, Robert Merton gives a talk that covers, among other things, derivatives and addresses a range of questions from ...Currency as an Asset Class and Forward Rate Bias: Perspectives from Asia and Europe In this interview, Neil Record discusses currency as an asset class, especially from the viewpoint of investors in Asia. Topics ...The Continuum from Passive to Active Currency ManagementIn international portfolios, currency risk represents an exposure not wanted, and investors have been passively hedging this ...Understanding the Risks in UCITS III FundsIn this webcast, James B. Clunie, CFA, ASIP, discusses the following: Warning! Not all UCITS III funds have the same risk ...Return–Risk Ratios under Taxation Most asset allocation studies are framed in a tax-free context. The authors examine the return–risk ratio as defined by the ...Refining the Sharpe Ratio When excess return is negative, the Sharpe ratio is also negative, which can be counterintuitive. The author presents a ...The Flight from Risk The financial crisis, in general, and the collapse of Lehman Brothers, in particular, has led to a reevaluation of risk by the ...Rethinking Risk Management Hedge fund managers are reevaluating risk management in the wake of the financial crisis. The reliance on traditional ...The Six Mistakes Executives Make in Risk Management The authors define “Black Swan” events as low-probability events that have an extreme impact and are nearly impossible to ...Price Volatility and Tracking Ability of ETFs The authors investigate the price volatility and tracking ability of exchange-traded funds (ETFs) compared with conventional ...Greed, Fear & Forecasting Doom Recent events have highlighted the fact that investors still do not understand how markets work. The author reviews how leading ...Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis The Chicago Board Options Exchange Volatility Index (VIX) measures the implied volatility of options on the S&P 500 Index. ...The 7 Habits of Highly Suspicious Hedge Funds Rogue traders have inflicted financial damage on investment banks, and a similar story is set to be played out in the hedge fund ...The Dark Side of Global Integration: Increasing Tail Dependence The authors analyze comovement between market indices of various countries to determine how changes in quantiles of a given ...Everything You Wanted to Know about Credit Default Swaps: But Were Never Told Recent articles have characterized credit default swaps (CDS) as sources of risk for institutions that use them, potential ...Credit Contagion from Counterparty Risk The authors claim to provide the first empirical analysis of credit contagion that occurs with direct counterparty effects when ...Liquidity Risk in a Scarce Data WorldThis presentation examines various components and how to model liquidity risk in addition to determining the portfolio average ...Options for Managing VolatilityAs investors have struggled to cope with bear markets over the past decade, more attention has been focused on alternative ...VIX IndexIn this webcast, Bud Haslett, CFA, discusses the following: What is the VIX Index and how is it calculated? Are there ...Five Minutes with Elena AmbrosiadouIn this webcast, hedge fund founder Elena Ambrosiadou discusses issues in hedge funds and risk management. Is the Recent Financial Crisis Really a “Once-in-a-Century” Event? On 9 October 2007, the Dow Jones Industrial Average reached a high of 14,164.53; by 9 March 2009, it had dropped about 54 ...Has the U.S. Stock Market Become More Vulnerable over Time? This study demonstrates that the cross-sectional variation of systematic risk and systematic liquidity has increased from 1963 ...Return Targets and Percentile Fans This article presents a highly intuitive approach for visualizing return distributions for a basic form of cash/equity ...Market View of Credit Risk: Making Sense of CDS Volatility This webcast from Standard & Poor's presents an overview of CDS Markets and analysis and interpretation of credit spreads ...The Credit/Fitch Solutions Counterparty Risk Survey 2009A survey and explanation of common counterparty risk issues, including Jonathan Di Giambattista's "Monitoring Counterparty ...Risk Management Applications of Forward and Futures Strategies Ch. 6, Analysis of Derivatives for the CFA® Program, Don Chance, CFA (AIMR, 2003) Risk Management Applications of Swap Strategies Ch. 8, Analysis of Derivatives for the CFA® Program, Don Chance, CFA (AIMR, 2003) Advances in Asset Allocation (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Regulating Systemic RiskThis is a chapter in the Research Foundation book Insights into the Global Financial Crisis. Volatility + Leverage = DynamiteThis is a chapter in the Research Foundation book Insights into the Global Financial Crisis. BIS Quarterly Review This comprehensive report from the Bank for International Settlement (BIS) on international banking and financial market ...Foundations of Banking Risk: An Overview of Banking, Banking Risks, and Risk-Based Banking Regulation (a review)This first installment in a series of study guides for the International Certificate in Banking Risk and Regulation program ...Risk Management with Robert MertonLearn about the possible impact of the increasing importance of sovereign wealth funds, how accurate data is critical to risk ...Rethinking RiskAre post-Lehman efforts to revise risk management models and processes “like putting in a fire alarm after the building has ...Utility-Adjusted Performance The authors consider a measure of performance introduced by Modigliani and Modigliani (1997) as “risk-adjusted performance” ...A New Strategy to Guarantee Retirement Income Using TIPS and Longevity Insurance The overriding risk faced by most retirees is that of outliving their accumulated resources and, in particular, the income ...Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking? During the 1996−2003 period, active mutual fund portfolios with higher management contractual incentives had lower probability ...What Motivates a Subprime Borrower to Default? The author models mortgages as a portfolio of three assets: a bond to replicate payment, a put option to foreclose, and a call ...What Volatility Tells Us about Diversification and Risk Management In the aftermath of the financial crisis that began in late 2007, many have wondered why none of the sophisticated risk models ...Bonds: Why Bother? The author examines two core views of modern finance about stocks and bonds and whether they are based on misconceptions. He ...The Moral Hazard Economy The author discusses side effects of the government bailouts. In particular, he expresses concern about the bailouts causing a ...Black Swans in Emerging Markets The author presents evidence of the extreme impact that outliers, or black swans, have on returns from investments in emerging ...Managing Systemic Counterparty Risk through a Redesigned Financial Architecture This article proposes a centralized financial utility that would mitigate systemic counterparty risk by guaranteeing against ...Technology-Induced Error in Currency AttributionPerformance attribution has become a valuable communication tool for managers and clients. A typical ...Liquidity Risk AnalysisIn this webcast, Erin Abouzaid discusses the following: The importance of being compensated for illiquidity when investing ...Risk is a Choice Rather Than a FateIn this editorial article from the Journal of Portfolio Management, André F. Perold comments on risk in the context of ...Risk Management Research ReportA compilation of interesting articles on risk management. Understanding Risk: The Theory and Practice of Financial Risk Management (a review) Understanding Risk: The Theory and Practice of Financial Risk Management is an excellent book for financial professionals who ...The Corporate Governance of Listed Companies: A Manual for Investors, Second EditionThe second edition of this manual, originally published in 2005, updates principles that help guide investors and shareowners in ...Banking Reforms for the 21st Century: A Perfectly Stable Banking System Based on Financial InnovationsThe authors in this article propose a system that remains stable even without deposit insurance, while rendering banks ...Catastrophic Risk and Credit MarketsReal estate transaction data indicate that the supply of catastrophic risk insurance continues to have a ...Does Freezing a Defined-Benefit Pension Plan Increase Company Value? Empirical Evidence This study empirically tests whether freezing or closing a defined-benefit (DB) pension plan increases the sponsoring company’s ...Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration Recent legislation and accounting rule changes motivate defined-benefit pension plans to manage the interest rate risk arising ...CDS and Market Distress This webcast, entitled "CDS and Market Distress," was contributed by the New York Society of Security Analysts ...Liquidity Risk Management: A New Priority on Management AgendasThis webcast examines liquidity risk management including governance and risk appetite, the evolving regulatory environment, and ...Crisis-Robust Bond PortfoliosApproaching the concept of a crisis-robust bond portfolio from a volatility standpoint, the authors define it as one ...The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option MarketsThe authors partition the implied volatilities from traded option prices into systematic and idiosyncratic components. ...Estimating Operational Risk for Hedge Funds: The ω-ScoreUsing a complete set of U.S. SEC filing information on hedge funds (Form ADV) and data from the Lipper TASS Hedge Fund ...ModelsThis article analyzes the methodology of modeling in the physical sciences and in finance. Whereas hobbyists’ models ...Risk and Reward Across the Public and Private High-Yield Credit Markets In this webcast, Sheldon M. Stone discusses the following: How do valuations differ between the public and private debt ...Overcoming the Credibility Crisis In this webcast, Diane Garnick discusses the following: Earning back the trust of investors Anticipating and ...Housing TodayIn this webcast, David M. Blitzer discusses the following: Where we are in the market cycle now Changing ...Investing Separately in Alpha and Beta (corrected May 2009) By analyzing the small avalanche of white papers, journal articles, books, and other sources of information on alpha–beta ...Handbook of the Equity Risk Premium (a review)The stock market’s reaction to the credit crisis of 2008 provides new evidence for solving the hotly debated ...A Movable FeastCan alternative assets continue to satiate diversification cravings?Systemic Credit Risk, Contagion, and the Pricing of Distressed Illiquid SecuritiesThe credit default swap index, the most credit-sensitive security, can provide an early warning of broader future ...Managing the Previously Unimaginable: Lessons from the Leverage UnwindsThe world is currently navigating through difficult economic and financial times. But the current crisis is more than ...Managing Assets in Turbulent MarketsInvestors need look no further than the current situation to see that turbulent markets are a fact of life. And with ...Factoring Politics into Investment StrategiesIan Bremmer, author of The Fat Tail, offers insights into political risks we are currently facing. A Short Seller's Guide to Risk Management In this podcast, James B. Clunie, CFA, ASIP, discusses the following: Understanding the risks that short sellers ...Nickels in front of the Steamroller: The Return of Qualitative Risk Management In this webcast, presented in partnership with the Chartered Alternative Investment Analyst (CAIA) Association, Jamie Raboy ...Risk Management: A Review The concept of risk has been central to the theory and practice of finance since Markowitz’s influential work nearly 60 years ...How Well Can Multi-Manager Funds Diversify?In multimanager funds, several managers work with the same investment universe but use different sources of information ...Applying Regret Theory to Investment Choices: Currency Hedging DecisionsThe authors develop a model that has two components of risk: traditional risk (volatility) and regret risk. They apply ...Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate BondsIn this article, the authors define latent liquidity, a new measure that can be used to characterize the liquidity of ...Does Financial Distress Risk Drive the Momentum Anomaly?The authors present Fama–French and Fama–MacBeth regressions to analyze financial distress risk and momentum in U.K. ...Leveraged ETFs: A Risky Double That Doesn’t Multiply by TwoLeveraged exchange-traded funds are a new investment vehicle designed to deliver a multiple—commonly two times—of the ...Models This article analyzes the methodology of modeling in the physical sciences and in finance. Whereas hobbyists’ models aim for ...The Second Moment This brief article discusses the statistical “second moment” that measures the variability in a distribution. Over the years, ...Estimating Operational Risk for Hedge Funds: The ω-Score Using a complete set of U.S. SEC filing information on hedge funds (Form ADV) and data from the Lipper TASS Hedge Fund Database, ...Unknown UnknownsIn the wake of the crisis, risk managers have more questions than answers.White Swans, Revulsion, and ValueIn this webcast, James Montier discusses the following: The current crisis can be called a predictable surprise, not a ...Price Momentum and Idiosyncratic VolatilityThe momentum anomaly is the observed regularity that on average, stocks that have recently performed well continue to ...Performance of Distressed BondsThe asset class of distressed debt is composed of bonds, loans, and other claims that are either in default or at ...Phased Retirement In this webcast from the 2008 Future of Life-Cycle Saving and Investing conference, Teresa Ghilarducci, Alicia H. Munnell, and ...Health Care and Assisted Living for the Elderly In this webcast from the 2008 Future of Life-Cycle Saving and Investing conference, Robert N. Butler, Amy Finkelstein, and ...Black Monday and Black Swans The knowledge that black swans can and do occur holds important lessons for how we think about risk. Those who are trying to ...Risk Budgeting, Parameter Uncertainty, and Risk RealizationsRisk budgeting refers to the process of constraining the tactical deviations from strategic portfolio weights by ...Hedging Liquidity Risk: Potential Solutions for Hedge FundsThe authors examine liquidity risk and look at some new derivative instruments that can be used to hedge against ...Contingent Claims Approach to Measuring and Managing Sovereign Credit RiskContingent claims analysis (CCA) is the application of option-pricing theory to the valuation of assets, the future ...Challenges in Quantitative Equity ManagementSince the late 1990s, a large percentage of assets under management has flowed into quantitatively managed funds, ...Black Monday and Black SwansInvestors need to be aware that rare events with an extreme impact that, afterward, we think we could have predicted—in ...Risk Management for Event-Driven FundsMany portfolio strategies are “event driven” (i.e., designed to benefit from price movements caused by corporate ...How Variation in Signal Quality Affects Performance The information coefficient (IC), the correlation between forecasted and realized return, is a popular measure of signal ...Modeling Credit Risk in Fixed-Income PortfoliosCredit risk modeling encompasses three variables of differing importance. These variables, from most to least important, are ...Asset Allocation Strategies and Manager SelectionIn this podcast, Hilda M. Ochoa-Brillembourg, CFA, discusses the following: Assessing fund objectives and determining the ...From Beta to Exotic Beta to AlphaIn this webcast, Robert B. Litterman discusses the following: Optimizing the spectrum of return sources to achieve a ...New Strategies and Best Practices to Manage Single-Stock Concentration RiskIn this podcast, Thomas J. Boczar, CFA, discusses the following: Investment tools that can be used to achieve economically ...Recent Evolution in the Fixed-Income MarketsIn this webcast, Tad Rivelle discusses the following: Innovations in leveraging that have dramatically expanded ...Implied Volatility and Future Portfolio ReturnsThe level of the Chicago Board Options Exchange Volatility Index (VIX) has been shown to predict returns on equity ...Professional Trader Order-Selection and Prior OutcomesEnvironmental, Social, and Governance Factors at Listed Companies: A Manual for InvestorsSuccessful investing is dependent on one's ability to discern the factors that influence the market's ...Client Strategies for Concentrated Stock Positions In this webcast, Brad Berggren discusses the following: Investment and tax effects of various popular hedging strategies ...Retirement Income Redesigned: Master Plans for Distribution In this webcast, Harold Evensky discusses the following: The future isn't what it used to be—the changing environment ...Custom Factor Attribution Portfolio analysts often use one set of decision variables for attributing portfolio returns and a different set for attributing ...Black Monday and Black Swans Investors need to be aware that rare events with an extreme impact that, afterwards, we think we could have predicted—in short, ...A Copula Approach to Value-at-Risk Estimation for Fixed-Income PortfoliosThe authors use a t-copula approach to estimate fixed-income value at risk (VAR). Using data from the French government ...The Theory of Optimal Life-Cycle Saving and Investing How much should a family save for retirement and their kids’ college education? How much insurance should they buy? How should ...Session 1 Comments by Deborah Lucas Life-cycle theory, as presented in the authors’ paper, offers six important concepts, three of which—contingent claims, prices ...Session 1 Comments by Philip Dybvig The goal of the paper being discussed is to make life-cycle theory more accessible to a general audience. The paper reflects on ...Innovative Retirement Income and Old-Age Insurance Products: Insurance and Income Annuity Solutions Income annuities should not be overlooked when choosing a mix of products for retirement income. Annuities can provide fixed or ...The Life Care Annuity Life care annuities address inefficiencies in the market by combining a life annuity and long-term care insurance, thus blending ...The Role of Government in Life-Cycle Saving and Investing As employers are withdrawing from providing both defined-benefit retirement plans and postretirement health care benefits, ...Session 5 Comments by John Shoven Employers have changed their retirement benefits offerings because of financial realities, one such reality being the costs ...Session 5 Reply by Alicia Munnell Businesses are right to drop defined-benefit pension plans, but institutions must be designed to replace them. Although ...The Need to Save More The U.S. workforce is mobile and always has been, which is one of the reasons that few workers accrue adequate savings. ...The Role of CFA Institute Almost all individuals today need education in economics, but high schools treat such education as an afterthought. Furthermore, ...The Challenges of Investor Education Investors need to be taught the basic concepts of personal finance according to economic principles. Unfortunately, educators ...Is Personal Finance a Science? Personal finance is an inexact science. For example, life-cycle retirement mutual funds are based on the unproven belief that ...The Future of Retirement Planning The next generation of retirement products will provide the user-friendliness and simplicity of defined-benefit plans, but they ...Introduction In this session, Blitzstein summarizes and reflects the discussions of previous presenters, Salisbury discusses the importance ...The Crisis in Retirement Plans Although the theory behind the paper of Bodie, Treussard, and Willen may be sound, its principles are not appearing in current ...Sustaining Retirement Income—Barriers and Dreams As the payout period becomes increasingly important in retirement planning, individuals and organizations must consider the ...Risk Management for Event-Driven Funds Many portfolio strategies are “event driven” (i.e., designed to benefit from price movements caused by corporate events, such as ...Peter L. Bernstein on RiskIn this webcast, Peter L. Bernstein discusses historical and current issues in risk management. Applying Modern Risk Management to Equity and Credit AnalysisTraditional conventions of accounting and actuarial science distort the valuation of capital risk in corporations with ...Systemic Risk in Structured Products (Take 15 Series)The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...Hedge Fund Demand for Equity Tranches in CDOs (Take 15 Series)The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...The Pricing of Illiquid Securities in the Subprime Space (Take 15 Series)The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...Liability Driven InvestingIn this webcast, Carl Hess discusses the following: LDI: Strengths and shortcomings, and why now? Ways to hedge ...Alpha vs. Beta and Other NonsenseIn this webcast, Jason MacQueen discusses the following: Myths that obfuscate our thinking about the realities of active ...The Slope of the Term Structure of Credit Spreads: An Empirical InvestigationCredit spread slopes of corporate bonds reveal changes in the direction of future short-term credit spreads and thus provide ...Yield Elasticity: A New, Objective Measure of Interest-Rate RiskDuration is not a good indicator of interest rate risk for coupon bonds because it explains only a small portion of the ...Quantification of Hedge Fund Default RiskBalancing the Opportunities in Real Return InvestmentsBy concentrating on risk-adjusted real return rather than total return, the Ontario Teachers’ Pension Plan (OTPP) has ...Trading Patterns and Excess Comovement of Stock ReturnsIn April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the ...What Every Investor Should Know about Commodities Part I: Univariate Return AnalysisThe authors use daily data to explain the return properties of 42 commodities for up to a 40-year time period. Results are ...Tail TalesIs your risk model telling you the whole story? “People are sitting on explosives,” says one expert.Quantitative Research in Fixed-Income Portfolio ManagementQuantitative research is a great addition to an investment process. It is complementary to fundamental ...Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies (a review)This collection of articles covers numerous key fixed-income topics, addresses many of the practices currently ...Interest Rate Swaps: Accounting vs. EconomicsWith interest rate swaps being the most widely used of all financial derivative contracts, financial analysts and engineers ...Optimal Allocation to Real Estate Incorporating Illiquidity RiskThe authors investigate whether allocations to real estate by the average U.K. pension fund, which are considerably lower than ...Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability ManagementThe use of bond futures and options on bond futures to manage interest rate risk from both asset management and asset/liability ...Do a Firm’s Equity Returns Reflect the Risk of Its Pension Plan?Don’t Kill the Golden Goose! Saving Pension PlansDefined-benefit (DB) pension plans are an endangered species; they are perceived as too risky and costly. But the emerging ...Quantitative Management of Bond Portfolios (a review)Offering clear, empirically based solutions to many of the practical challenges of running a bond portfolio ...Risk: The Hottest Four-Letter Word in Financial MarketsThe future is uncertain, so we can never know what will happen. Indeed, risk would not exist if we could correctly anticipate the ...Risk Capital Allocation: Beyond Traditional Asset Allocation ApproachesA new paradigm of investment management is on the horizon, one that defines portfolios as bundles of risk to be managed ...Credit Risk and the Link between Default and Recovery RatesThe U.S. high-yield bond market has grown dramatically in the past three decades, reaching more than $1 trillion in outstanding ...Irrational Exuberance RevisitedSpeculative bubbles have long been a feature of financial and asset markets, both in the United States and elsewhere. Although ...Credit Risk This review provides a comprehensive survey of recent quantitative research on the pricing of credit risk. It also explores two ...The Efficiency Gains of Long-Short Credit StrategiesMost fixed-income portfolio managers are limited to long-only investment strategies. In this paper, the authors estimate the ...Using Dynamic Programming to Optimally Rebalance PortfoliosCosts of rebalancing are nontrivial, and conventional approaches often do not correctly account for “frictional” costs or ...Index Changes and Losses to Investors: S&P 500 and Russell 2000 Index FundsWatch a free webcast presentation by Vijay Singal, CFA, on his July/August 2006 FAJ article “Index Changes and Losses to ...The Sense and Nonsense of Risk BudgetingA framework is described for the optimal allocation of active risk among broad asset classes or external asset managers. Unlike ...Why Company-Specific Risk Changes over TimeCompany-specific risk climbed steadily between 1962 and 1999 in the U.S. market but fell sharply between 2000 and 2003. This ...Risk: The Hottest Four-Letter Word in Financial MarketsThe future is uncertain, so we can never know what will happen. Indeed, risk would not exist if we could ...Irrational Exuberance RevisitedSpeculative bubbles have long been a feature of financial and asset markets, both in the United States and ...Optimal Hedge Fund Allocations: Do Higher Moments Matter?Although mean–variance analysis is the typical tool for optimizing portfolios, it may not be the optimal tool for portfolios ...Credit Risk and the Link between Default and Recovery RatesThe U.S. high-yield bond market has grown dramatically in the past three decades, reaching more than $1 ...Using Credit Derivatives to Enhance Return and Manage RiskThe credit derivatives market is growing rapidly in size as well as importance. Credit default swaps, the ...Flight SafetyWhat do equity risk models and fighter jets have in common?Absolutely, Relatively AsymmetricalAlexander Ineichen, CFA, seeks equity-like returns on the upside and bond-like volatility on the downside.Covariance Misspecification in Asset AllocationSeries of returns to broad asset classes often possess histories of unequal length and have been subject to smoothing. Estimates ...Hedge Funds: Risk and Return Atanu Saha offers a Q&A session based on his November/December 2005 FAJ article Hedge Funds: Risk and Return (authored with ...Crash-O-Phobia: A Domestic Fear or a Worldwide Concern?This paper shows that the asymmetrical "smirk" pattern found in the implied volatilities of U.S. equity options exists ...A Factor Approach to Asset AllocationThe authors contend that an additional set of global market factors can be used to further diversify a global portfolio's risk ...The Symmetric Downside-Risk Sharpe RatioThe standard Sharpe ratio performance measure penalizes the high returns of Warren Buffett's Berkshire Hathaway fund because of ...Copulas and CoherenceRisk: The Final FrontierWhen it comes to psychological factors, does modern risk management have a blind spot? Risk Allocation and Portfolio ConstraintsConscious consideration of risk allocation must be paired with asset allocation if diversification is to have ...Hidden Risks to the Long-Term Goals of Pension PortfoliosThe investment policies of defined-benefit plans are designed to maximize the long-term funding ratio ...The Oxford Guide to Financial Modeling: Applications for Capital Markets, Corporate Finance, Risk Management, and Financial Institutions (a review)Through steady and consistent writing, the authors deliver a unified approach in a single volume to a subject that covers all of ...Ex Post Reality versus Ex Ante Theory of the Fundamental Law of Active ManagementActive portfolio managers seek to maximize the information ratio. Because the information ratio is determined using several ...Corporate Failure and Equity ValuationAn important problem for portfolio managers is how to adjust the valuation of equity for the risk that the company may fail. ...Most Nobel MindsIn a CFA Magazine exclusive, Peter Bernstein moderates a roundtable discussion among five Nobel laureates whose work has ...Part and ParcelThis article addresses the following key points: Risk management is both art and science, and solutions vary according to firm ...Value and Risk: Beyond Betas Risk can be both a threat to a company's financial health and an opportunity to get ahead of the competition. Most analysts, ...Active Risk Budgeting in Action:To optimize asset allocation weights for hedge funds and traditional stock and bond investments, investors need to truly ...How Risky are Illiquid Investments?Using historical data in asset allocation models leads to inappropriate allocations among asset classes. The authors use public ...The Risk and Return of Venture CapitalThe author measures the performance of venture capital investments by using a maximum-likelihood estimate technique that adjusts ...Sifting through the Wreckage:The authors decompose hedge fund risk by examining the TASS hedge fund industry database. They explain attrition rates by ...Taking a Close Look at the European Fund of Hedge Funds Industry:The gap between theory and practice within the European fund of hedge funds industry is significant. A survey of 61 European ...Trends in Private EquityThe leveraged buyout and corporate restructuring private equity market has grown rapidly and matured in recent years. What was an ...Integrating Hedge Funds into the Traditional PortfolioHedge funds are often used for risk reduction because they reduce the standard deviation of the traditional stock and bond ...Value and Risk:Risk can be both a threat to a company's financial health and an opportunity to get ahead of the competition. Most analysts, when ...New Kids on the BlockQuantitative models and techniques have played a growing part in the investment management process over recent years and, ...Active Risk and Information RatioActive managers must contend with the active risk (essentially, the tracking error of the risk model) of their strategies. The ...Toward More Information-Efficient PortfoliosWhen certain constraints are imposed on portfolio managers, their ability to efficiently capture alpha is diminished. Managers ...Practical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Emerging Market Risk PremiumsThis article addresses the following key points: Fiscal and political stability in emerging markets has lowered risk. ...Pension Plans on a Quest for AlphaThis article addresses the following key points: Past outperformance of currency managers resulted from highly ...Value and Risk: Beyond BetasRisk can be both a threat to a company’s financial health and an opportunity to get ahead of the competition. Most analysts, when ...Innovations in Credit Risk ModelingThree classes of credit models span most of the space of credit-modeling technology: structural (Merton), reduced form, and ...Managing Portfolio Risk with Credit DerivativesAlthough futures, swaps, and options provide effective means for managing most of the main types of fixed-income portfolio risk, ...REIT and REOC Systematic Risk SensitivityAlthough REITs and real estate operating companies (REOCs) both invest almost exclusively in real estate, ...Where Risk Control Meets Cost Control in Analytics DevelopmentThe authors advocate the development of analytical tools that help refine the investment decision-making ...Trends in Quantitative Asset Management in EuropeEuropean asset management firms have increased their use of quantitative models with improved model ...Determinants of Tracking Error for Equity PortfoliosTracking error measures the dispersion of a portfolio's active return, which is the difference between the ...Optimal Active Risk Budgeting ModelA fund manager allocating capital to active managers across and within different asset classes must manage ...Defining RiskThe financial literature frequently mentions risk, but it lacks a widely accepted definition of risk. This ...Conditional Performance Evaluation, RevisitedA difficult task for performance-minded investors is determining whether a manager's success is a result of ...Risk and Volatility: Econometric Models and Financial PracticePractical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Hedge Fund Risk Fundamentals (a review)Although this book may have been intended largely to be a marketing tool for the author's risk measurement model, it contains an ...Principles of Financial Engineering (a review)This readable, wide-ranging, practical, and wise book introduces the entire field of financial engineering and covers it in a ...Can We Keep Our Promises?We cannot pursue returns sensibly without measuring our risks sensibly. For pension funds, three risks—not classic standard ...Defining RiskThe financial literature frequently mentions risk, but it lacks a widely accepted definition of risk. This omission is no ...Conditional Performance Evaluation, Revisited Traditional performance evaluation assumes that investment styles and economic states remain constant. Conditional performance ...Diversifying Concentrated HoldingsMeeting the special needs of clients who have concentrated equity holdings has become a productive way for investment managers to ...The Handbook of Risk Management: Implementing a Post-Crisis Corporate CultureThis book addresses critical risk management issues following the recent crisis and provides techniques and tools to better ...Issues in Risk Management (Take 15 Series Transcript)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Does Your ETF Own Derivatives?This interesting article highlights the use of derivatives in ETFs and gives six rules for determining whether an ETF uses ...Fees at RiskDr. Scherer examines this key issue for asset management firms and discusses the desirability of hedging of production risk and ...Risk Management in Fund of Funds Portfolios (Take 15 Series Transcript)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Global Risk Transfer MarketThe report compares OTC and exchange-traded derivatives by analyzing the size of the markets, collateral requirements, and ...Lessons from the Financial CrisisLeading academics and industry authorities cover all aspects of the global financial crisis of 2008, including the roots of the ...Into the Abyss: What if Nothing Is Risk Free?A key assumption in corporate finance and investment analysis is the existence of a risk-free investment, but during the ...Regulators Double DownThe brief article introduces the challenges of addressing extreme tail risk and discusses the development of the Basel frameworks ...The Euromoney Risk Management Handbook 2011This handbook discusses current risk management topics of importance such as operational risk, credit risk, and issues facing the ...Global Risks 2011This extensive report analyzes risk and how it is evolving from a global perspective. It examines how risks impact various ...The European Fund Management Industry Needs a Better Grasp of Non-Financial RisksThis paper looks at how nonfinancial risks and failures have had an effect on the regulatory agenda in Europe and traces the ...Financial Risk Manager HandbookThis book reviews a variety of risk management topics including market, credit, liquidity, and operational risk. The author ...Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy This book reviews a myriad of derivatives topics and examines their pricing characteristics and application to risk management. Intra-Horizon RiskIntra-horizon risk is the risk of violating a minimum threshold at any point within an investment horizon rather than simply at ...U.S. Consumer Credit RiskThis survey produced by PRMIA analyzes consumer credit risk in the U.S., including risk management priorities, issues with ...What Models Do We Need For Risk Management?This article discusses model risk and the appropriate models and use of models that lead to effective risk management. Risk Management Lessons from the Global Banking Crisis of 2008 Read risk management observations for 2008 in this report from the Senior Supervisors Group. Risk Management under UCITS III/IV: New Challenges for the Fund IndustryThis book shows how asset managers, fund administrators, management companies and risk departments can satisfy the various ...The CrisisIn this draft paper presented at the Spring 2010 conference of the Brookings Papers on Economic Activity (BPEA), former Federal ...Containing Systemic Risk: The Road to ReformThis report focuses on the steps that must be taken by the private sector to reduce the frequency and/or severity of future ...Transparency in Treasury Management: A Guide to Counterparty Risk ExposureFinancial risk exposures, including counterparty credit risk, need to be properly addressed; upcoming regulations on transparency ...Some Observations and Lessons from the CrisisRead the transcription of the Federal Reserve Bank of New York executive vice president's remarks from the Third Annual ...Rebuilding Trust: Next Steps for Risk Management in Financial ServicesThis report examines the steps that banks and insurers around the world are taking to reinforce their risk management ...Risk Management Research Report: Spring 2010This quarterly report from the School of Business at Loyola University Chicago presents summaries of recently published, relevant ...Volatility - The Good, the Bad and the UglyIn this white paper, the author looks at the multifaceted nature of volatility and examines hedge fund returns during periods of ...On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard FormulaThis EDHEC study finds the correlation coefficient for private equity performance versus that of listed equity markets is ...Strengthening the Resilience of the Banking SectorIn this report by the Bank for International Settlements (BIS), the Basel Committee on Banking Supervision sought comments on ...Portfolio Margining: Recent Developments and Innovations In Single Stock Concentrated Risk ManagementThe prepaid variable forward has been the subject of a number of unfavorable tax rulings that conclude that hedging appreciated ...EDHEC Survey of the Asset and Liability Management Practices of European Pension FundsThis survey from EDHEC reviews the challenges that European pension funds have with hedging their liabilities, gaining access to ...Risk Control through Dynamic Core-Satellite Portfolios of ETFsAsset managers generally focus on diversification or returns predictions to create added value in exchange-traded funds (ETFs) ...UCITS IV: The Path to Greater Efficiency This paper proposes strategies for capitalizing on the opportunities that may come from UCITS IV, which could potentially create ...Oil Prices: The True Role of SpeculationThis position paper presents a review of the rise in oil prices from a risk perspective (PDF). Regulation, Speculation, and CompetitionThe Honorable Susan Phillips from the Commodity Futures Trading Commission discusses how functioning, liquid markets can serve ...Potential Regional Divide in Derivatives Rules Causes ConcernThis Financial Times interview with the chairman of ISDA addresses regulatory issues such as regulatory arbitrage and trends ...Managing Risks in China InvestmentsKevin Pollack from Paragon Capital discusses investments in China and how to manage risk in such investments by employing ...Foundations of SandReliance on quantitative models alone without a healthy dose of judgment is like building on a house of sand, it is destined for ...Global Risks 2012 - Seventh EditionThis report, from the World Economic Forum, examines a group of global risks from a current and historical perspective. It ...2012: Another Year of Living Dangerously2012 is fraught with uncertainty and geopolitical risks that will need insightful judgment in order to successfully navigate the ...Positioning Portfolios for Turbulent TimesInvestors are investing in a time of turbulence. This turbulence is not unusual, but it might seem unusual because ...Understanding Expected ReturnsInvestors tend to think of expected returns as a function of asset class risk, but this thinking may have led them to ...Opalesque Roundtable Series 2012 - BrazilThis roundtable discussion by prominent Brazilian investors examines various investment strategies and vehicles being utilized in ...Beyond GIPS Compliance: Maximizing ValueThe work required to claim and maintain compliance with the GIPS standards can add value beyond just making the statement of ...Factions and Finance in China: Elite Conflict and InflationThis book on the Chinese banking sector is one of the first to develop a framework analyzing the impact of elite politics on both ...New Measures of Risk (and Why Markets Are Now Very Fragile) Understanding risk is essential to successful investment management, yet most common measures, like beta, capture only risk ...Benefits of Reducing VolatilityThis video examines low volatility investing including concepts of analyzing the risk-reward tradeoff, risk budgeting and ...Strategies for Controlling RiskThis video examines the concept of a glidepath where analysis of current investments and risk level combined with future goals ...Quant WorkshopFor asset managers catering to the needs of high net worth individuals, in recent years increasing scrutiny has been paid to the ...Enterprise Risk Management: The Highest Performing Cars Have the Highest Performing BrakesAn effective risk management and internal control framework is similar to high performance brakes. If designed well, it enables ...Deliberations on Low Volatility Investing and 50th Anniversary DrinksLow-volatility investing is gaining momentum amongst institutional investors, mostly triggered by the financial crises we have ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...BGM Market Models: Advances, Calibration, Smile, PricingThe BGM Libor and Swap Market Models are the last generation of financial models for interest rate derivatives, with an ...CFA Institute / INSEAD: Global Investors WorkshopDiscover how the newest practices in asset valuation, portfolio construction, and investment firm management can work for your ...Counterparty Risk, Credit Exposure and CVAThis course explains and describes counterparty risk and the quantification and management of CVA. The ideas are built up ...Index Linked Bonds and Inflation DerivativesThe market for index-linked bonds and inflation derivatives is growing rapidly. This program covers the mechanics of the ...Strategic ALM, Treasury and CapitalA three-day advanced program covering best practices in asset-liability management (ALM), as well as ALM’s relationships to ...Interest Rate Derivatives 1: Hedging and Managing Risk Course Objectives: Explore the relationship between futures, forwards and FRAs Build a zero coupon yield curve ...Strategic ALM, Treasury, and CapitalA three day advanced program covering best practices in Asset-Liability Management (ALM), as well as ALM’s relationships to ...Interest Rate Derivatives 1: Hedging and Managing RiskCourse Objectives: Explore the relationship between futures, forwards and FRAs Build a zero coupon yield curve Construct ...CVA: Credit Models and Advanced Counterparty Credit Risk Pricing and Restructuring - MunichAccording to Basel III, two thirds of the losses during the financial crisis were due to CVA mark to market rather than to actual ...Corporate and Sovereign Risk and Bankruptcy Prediction, Risk Management and Distressed Debt Markets and Strategies - LondonThis course will present Dr. Edward Altman's latest thoughts and models on corporate and sovereign debt default prediction ...CFA Institute / Harvard Business School: Investment Management WorkshopLegendary among investment executives for transforming investment thinking and firm management over the past four decades, the ...Index Linked Bonds and Inflation DerivativesThe market for index-linked bonds and inflation derivatives is growing rapidly. This program covers the mechanics of the ...A Complete Course in Risk Management - ChicagoThis course meets the demands of risk professionals by bridging the gap between theory and practice. Continuing Education ...A Complete Course in Risk Management - ChicagoThis course meets the demands of risk professionals by bridging the gap between theory and practice. Continuing Education ...A Complete Course in Risk Management - ChicagoThis course meets the demands of risk professionals by bridging the gap between theory and practice. Continuing Education ...Advanced Risk and Portfolio Management Bootcamp - ARPM BootcampThe six-day course provides in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and ...Managing Risk Management in a New EnvironmentThis two-day session will provide an executive overview of Enterprise Risk Management with special emphasis on the importance of ...Managing Risk Management in a New EnvironmentThis two-day session will provide an executive overview of enterprise risk management with special emphasis on the importance of ...66th CFA Institute Annual ConferenceThe risk, opportunities, and challenges facing the global investment profession are as complex as ever and investment ...Portfolio Optimization in a Multidimensional Structural-Default Model with a Focus on Private EquityTo study the optimization of private equity assets, the authors propose two variations of a model that take ...Regime Shifts: Implications for Dynamic StrategiesRegime shifts present significant challenges for investors because they cause performance to depart significantly from the ranges ...Improving Risk Forecasts for Optimized PortfoliosSample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special ...Buy-Side Risk Management: Hedging Hedge Fund OutflowsThe authors suggest a strategy for hedging outflow risk for hedge funds. They recommend using out-of-the-money call options on ...Value at Risk and Conditional Value at Risk: A ComparisonValue at risk is praised as a simple, universal risk measure on the one hand and frequently referred to as “controversial” or ...Investment Performance’s Need to Know: A Road Map for Lifelong Learning Investment performance encompasses a wealth of topics and a diverse set of skills. Accordingly, investment performance ...Why U.S. Insurers Fared Better Than BanksDid key differences give insurers an edge during the financial crisis?Operational Planning for a Euro Crisis“Firms are becoming increasingly wary of the operational impact that a potential eurozone breakup may pose.”Currency War IIIDoes the world risk “a chaotic, catastrophic collapse of investor confidence”?Código de conducta profesional del gestor de inversiones The Asset Manager Code of Professional Conduct (the Code) is intended to help investment managers provide services in a ...Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing PortfoliosThe authors extended the standard paradigm for portfolio stress testing in two ways. First, they introduced a toolkit that ...Adaptive Markets and the New World Order In the adaptive markets hypothesis (AMH) intelligent but fallible investors learn from and adapt to changing economic ...How Index Trading Increases Market Vulnerability The authors found that the rise in popularity of index trading—assets invested in index funds reached more than $1 trillion at ...The Quant Delusion: Financial Engineering in the Post-Lehman Dodd–Frank Landscape The recent financial crisis and its aftershocks have reshaped the world of financial engineering, quantitative analysis, and ...Evolution in Risk Reporting: What’s Next?The process of measuring, monitoring, and reporting risk has taken on increased importance during the past ...6. Uses and Limitations of Quantitative Techniques Managing risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...The Journal Interview: Howard Marks, CFAHoward Marks, a successful fixed-income fund manager, is interviewed about hisrecently published book, The Most Important Thing: ...Currency Hedged Benchmark Replication: Challenges and ImprovementsThe authors document the limitations and challenges of using currency-hedgedbenchmarks in the assessment of the performance of ...The FTSE StableRisk IndicesThe StableRisk Indices, created by FTSE, are long-only indices in which risk isdynamically controlled by using rules that daily ...Crash Risk of the Euro in the Sovereign Debt Crisis of 2009–2010The authors show that the creditworthiness of euro-region countries affects thevolatility of those countries’ currencies. This ...Hedging Equity Market Risk in Hedge Fund Investing: A New ApproachThe prevailing wisdom in the investment industry before the financial crisis wasthat hedge fund performance was largely immune to ...Risk Shifting and Mutual Fund PerformanceThe authors examine the level of risk shifting by mutual funds over time. Theirresults suggest that mutual funds do engage in ...The Case for Emerging Market CorporatesPositive macroeconomic and demographic factors, improved local regulation,increased investment inflows from outside investors, ...Red-Blooded Risk: The Secret History of Wall Street (a review)No one who reads Red-Blooded Risk: The Secret History of Wall Street will ever again regard risk management as a necessary but ...The Time-Varying Systematic Risk of Carry Trade StrategiesThe authors enhance current modeling techniques of the carry trade. They developsmooth regime shifting between high and low ...The Performance of Johnson Distributions for Computing Value at Risk and Expected ShortfallThe author proposes the Johnson family of distributions as a superior approach toapproximating unknown return distributions and ...The Value of Life, Statistically SpeakingAn overview of one method for calculating the statistical value of a human life. Debt and Deleveraging: Uneven Progress on the Path to GrowthIn the aftermath of the global financial crisis, major economies are just beginning to address issues of debt and deleveraging ...What are the Risks of European ETFs?This EDHEC - Risk Institute report highlights issues of European ETFs including their UCITS framework, counterparty risks, ...CDSs: Lubricant or Landmine?Credit default swaps are instruments to improve the management of credit risk but may represent a source of contagion risk in a ...Volatility Concepts and Tools in Risk Management and Portfolio Construction Understanding the dynamics of realized volatility is critical to effective investment management and portfolio risk management. ...Portfolio Construction and Risk Management for Sovereign Wealth Funds The management of sovereign wealth funds involves the fundamental problems of investor preferences, portfolio construction, and ...Liquidity ModellingLiquidity risk reared its ugly head during the financial crisis and surprised many experienced risk managers. This book provides ...Risks Rising as Realty Firms Buy from, Sell to Each Other Activity in commercial real estate is high which increases the chance that investors could actually be in on both sides of the ...European Debt Crisis Putting Credit Default Swaps in Harsh LightRecent activity in Greek sovereign debt is raising questions about the effectiveness of sovereign CDSs due to the ...Compliance and Ethics in Risk ManagementCarlo di Florio, director at the SEC, discusses the importance of ethics and regulatory compliance in a risk management program. ...Standard Risk Measurement Not Enough: Eurozone Crisis Deconstructed Value-at-Risk and other popular risk measurements are typically effective during calm markets but often times are quite ...Basel III Counterparty Credit Risk - Frequently Asked QuestionsThis report discusses the frequently asked questions received by the Bank for International Settlements concerning the Basel III ...Introduction to Quantitative Risk MeasurementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...1. Risk Management vs. Risk MeasurementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...The Illiquidity of Corporate Bonds The authors develop a framework for measuring the illiquidity of corporate bond trading in U.S. fixed-income markets. Their ...Taking De-Risking Too Far?With two once-in-a-lifetime bear markets in the past decade, retirees are looking to adjust their equity risk exposure. This ...Here Comes the SEC: How Much Leverage Do Mutual Funds Have?The impact on risk management of mutual funds using derivatives is discussed based on the SEC analysis of such leveraged ...IMF Connects Dots in Spillover Analysis of Major Economies The IMF reports on country risks that are present due to the interconnections between the economies of various countries. Why China’s Exchange Rate Is a Red Herring and Other Investment StoriesAs investors think about future returns, they should focus on their risk capacity rather than their current appetite for risk and ...Advances in Risk Management and Risk GovernancePortfolio managers often rely on standardized statistical tools to measure portfolio risk. But this approach to risk management ...Managing Portfolio Risk over Short HorizonsModern portfolio theory assumes one very long time horizon. This article discusses how to manage risk over shorter horizons that ...How to Make a Black-Swan Tactic FlyThis article describes the financial and U.S. tax implications of using an out-of-the-money protective put strategy to protect ...No School Left BehindDuring the financial crisis, the assets of the 10 largest university endowments dwindled by a collective $36 billion and many ...How Should Pension Funds Pay Their Own People?How should pension funds pay their own staff? The author looks at two approaches to implementing a pay-for-performance plan that ...How Accurate Is the Square-Root-of-Time Rule in Scaling Tail Risk: A Global StudyThe square-root-of-time scaling method uses daily volatilities to estimate value at risk (VaR) over long periods. The authors ...Capturing the Market, Value, or Momentum Premium with Downside Risk ControlThis paper from EDHEC analyzes using a dynamic core satellite strategy to manage downside risk while exploiting value and ...A Practical Guide to Risk ManagementManaging risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids ...The Limits to Arbitrage Revisited: The Accrual and Asset Growth AnomaliesUsing idiosyncratic volatility as a proxy for arbitrage costs, the authors found that the highly publicized accrual and asset ...Awareness of Risk Growing, Dealing with Risk Lagging Although institutional investors are far more aware of the risk involved, they are not necessarily in a better position to deal ...Inflation: An Ounce of ProtectionInflationary pressures are already a problem in much of the world. An allocation to real assets, however, can ...The Risk Controllers: Central Counterparty Clearing in Globalised Financial MarketsCentral Counterparty (CCP) clearing performed well during the recent financial crisis and is at the cornerstone of many of the ...Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis Although generally considered safe assets, liquid stocks underperformed illiquid stocks during the financial crisis of ...Limited Liability Leverage (L³): A New Measure of LeverageFor a portfolio that has multiple trading units with a limited liability structure, the authors suggest a new measure of overall ...Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe Responses to a survey of investment management practitioners in Europe show that most practitioners are aware of key academic ...Comment Letter to SEC in Response to the Call for Comments on the President’s Working Group Report on Money Market Fund ReformGlobal Financial Stability ReportThis report assesses key risks facing the global financial system, focusing on those that represent systemic vulnerabilities. ...Symposium on Building the Financial System of the 21st Century: An Agenda for Europe and the United States - Final Report This report summarizes a symposium held in March 2011, sponsored by the Harvard Law School’s Program on International Financial ...Weather Risk ManagementThis book examines managing weather risk including hedging strategies, contract types, and future prospects. Financial Reforms, Future Risk Management, and Developing Investment Opportunities The financial bubbles and crises that have affected the world’s markets and economies during the past five years have created ...Asset and Risk Management in a Post-Crisis MarketInvestors have learned from the global financial crisis that markets are adaptive, complex networks and that risk is not ...Risk Management Applications of Option StrategiesCh. 7, Analysis of Derivatives for the CFA® Program, Don Chance, CFA (AIMR, 2003) ‘The Prayer’ Ten-Step Checklist for Advanced Risk and Portfolio Management"The Prayer" is a recipe of ten sequential steps for all portfolio managers, risk managers, and algorithmic traders ...The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice (a review)This book expands the discussion of how to structure the investigation of risks that do not easily fall into measurable buckets. ...Measuring Global Systemic Risk: What Are Markets Saying about Risk?The authors present a set of three models that they believe gives practitioners the ability to identify systemic risk ...Funds Begin to Move Risk to Center StageFollowing the financial crisis, many pension funds have been turning more attention to risk management than they have ...Hedge Fund Contagion and Liquidity ShocksDeclines in asset liquidity and difficulties in funding leveraged positions are common factors leading to negative ...A Primer for Investment Trustees This “primer,” written as if addressed to a new trustee for a university, is a comprehensive discussion of investment issues ...Survey of Derivative Risk Management PracticesThis report from the Financial Services Authority analyses derivatives risk management practices in the investment management ...Comment Letter to U.S. SEC on SOX 404(b) Compliance Study Required by Dodd-Frank ActThe Problems of "Absolute Returns"This article discusses the problem with absolute returns including proper due diligence, long-short positions that both move ...Better Information, Better Decisions: The Risk and Compliance Challenge for Financial InstitutionsIdentifying, assessing, measuring, and communicating risk are critical components to a successful risk management program. This ...Advisers Using ALM TechniquesThis article discusses asset liability management for private clients and pension funds from a risk management perspective. Diversification Is Not Sufficient for Managing RiskThis article discusses the fundamental premises for diversification and how they impact the risk management decision-making ...Rethinking Risk Measurement and Reporting: Volume IIThis book examines market, credit, and operational risk and how these risks can be better identified, measured, and expressed. An Integrated Approach to Asset-Liability ManagementThis article from EDHEC examines the impact leverage decisions have on the fair value of pension liabilities and the factors ...End Score Can hedge fund operational risk be quantified? A scoring model described in a Graham and Dodd award-winning article estimates ...Index Volatility in PerspectiveThe author examines the volatility of various indices from different perspectives to assess trends that can help in rebalancing ...Extreme Risk AnalysisEffective risk management requires identifying sources of risk and understanding their effects on a portfolio’s overall risk. The ...Identifying Sources of Correlation in Global Equity Portfolios One challenge for global equity managers is keeping track of correlations between the sources of risk in their portfolios. In the ...Investment Management after the Global Financial Crisis The investment industry was severely affected by the global financial crisis of 2007–2009, and changes will have to occur. In ...Singapore Hedge Funds 2010 - Opalesque Roundtable SeriesThe article consists of an interview with eight Singapore-based hedge fund participants as they discuss risks and challenges in ...Risk Management: Foundations for a Changing Financial WorldThis collection of previously published articles from various CFA Institute publications provides investment professionals with a ...Skulls, Financial Turbulence, and Risk Management Based on a methodology introduced in 1927 to analyze human skulls and later applied to turbulence in financial markets, this ...Exploiting VolatilityAlthough volatility may rise and fall, it is always there. Moreover, the current high levels of volatility and ...Monitoring Managers: How to Avoid Another Madoff Rebuilding the confidence of the investor base continues to be one of the greatest challenges facing the hedge fund industry. ...Predicting Hedge Fund Failure: A Comparison of Risk MeasuresThe authors demonstrate that downside risk measures are more effective in predicting hedge fund failures than traditional risk ...Longevity Swaps Previously, annuities were the primary tool to manage mortality risk. Now longevity swaps can also be used to manage this type ...Best Practices for Portfolio RebalancingThe authors demonstrate that risk-adjusted returns are not meaningfully different whether a portfolio is rebalanced monthly, ...The Myth of Diversification Diversification is one of the pillars of asset allocation. The authors argue, however, that investors typically assess ...Adaptive Asset Allocation Policies This article proposes an asset allocation policy that adapts to market movements by taking into account changes in the ...Global Currency Hedging During 1975–2005, world equity markets were negatively correlated with oscillations in the U.S. dollar, euro, and Swiss franc ...Number-Crunchers Crunched Financial models are being blamed for their role in the recent financial crisis. In particular, critics say, models failed to ...Another Look at Portfolio Optimization under Tracking-Error Constraints Research has shown that adding constraints to total portfolio volatility can substantially improve the performance of managed ...Adaptive Asset Allocation Policies This article proposes an asset allocation policy that adapts to market movements by taking into account changes in the ...The Continuum from Passive to Active Currency ManagementIn international portfolios, currency risk represents an exposure not wanted, and investors have been passively hedging this ...Return–Risk Ratios under Taxation Most asset allocation studies are framed in a tax-free context. The authors examine the return–risk ratio as defined by the ...Refining the Sharpe Ratio When excess return is negative, the Sharpe ratio is also negative, which can be counterintuitive. The author presents a ...The Flight from Risk The financial crisis, in general, and the collapse of Lehman Brothers, in particular, has led to a reevaluation of risk by the ...Rethinking Risk Management Hedge fund managers are reevaluating risk management in the wake of the financial crisis. The reliance on traditional ...The Six Mistakes Executives Make in Risk Management The authors define “Black Swan” events as low-probability events that have an extreme impact and are nearly impossible to ...Price Volatility and Tracking Ability of ETFs The authors investigate the price volatility and tracking ability of exchange-traded funds (ETFs) compared with conventional ...Greed, Fear & Forecasting Doom Recent events have highlighted the fact that investors still do not understand how markets work. The author reviews how leading ...Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis The Chicago Board Options Exchange Volatility Index (VIX) measures the implied volatility of options on the S&P 500 Index. ...The 7 Habits of Highly Suspicious Hedge Funds Rogue traders have inflicted financial damage on investment banks, and a similar story is set to be played out in the hedge fund ...The Dark Side of Global Integration: Increasing Tail Dependence The authors analyze comovement between market indices of various countries to determine how changes in quantiles of a given ...Everything You Wanted to Know about Credit Default Swaps: But Were Never Told Recent articles have characterized credit default swaps (CDS) as sources of risk for institutions that use them, potential ...Credit Contagion from Counterparty Risk The authors claim to provide the first empirical analysis of credit contagion that occurs with direct counterparty effects when ...Liquidity Risk in a Scarce Data WorldThis presentation examines various components and how to model liquidity risk in addition to determining the portfolio average ...Is the Recent Financial Crisis Really a “Once-in-a-Century” Event? On 9 October 2007, the Dow Jones Industrial Average reached a high of 14,164.53; by 9 March 2009, it had dropped about 54 ...Has the U.S. Stock Market Become More Vulnerable over Time? This study demonstrates that the cross-sectional variation of systematic risk and systematic liquidity has increased from 1963 ...Return Targets and Percentile Fans This article presents a highly intuitive approach for visualizing return distributions for a basic form of cash/equity ...The Credit/Fitch Solutions Counterparty Risk Survey 2009A survey and explanation of common counterparty risk issues, including Jonathan Di Giambattista's "Monitoring Counterparty ...Risk Management Applications of Forward and Futures Strategies Ch. 6, Analysis of Derivatives for the CFA® Program, Don Chance, CFA (AIMR, 2003) Risk Management Applications of Swap Strategies Ch. 8, Analysis of Derivatives for the CFA® Program, Don Chance, CFA (AIMR, 2003) Regulating Systemic RiskThis is a chapter in the Research Foundation book Insights into the Global Financial Crisis. Volatility + Leverage = DynamiteThis is a chapter in the Research Foundation book Insights into the Global Financial Crisis. BIS Quarterly Review This comprehensive report from the Bank for International Settlement (BIS) on international banking and financial market ...Foundations of Banking Risk: An Overview of Banking, Banking Risks, and Risk-Based Banking Regulation (a review)This first installment in a series of study guides for the International Certificate in Banking Risk and Regulation program ...Rethinking RiskAre post-Lehman efforts to revise risk management models and processes “like putting in a fire alarm after the building has ...Utility-Adjusted Performance The authors consider a measure of performance introduced by Modigliani and Modigliani (1997) as “risk-adjusted performance” ...A New Strategy to Guarantee Retirement Income Using TIPS and Longevity Insurance The overriding risk faced by most retirees is that of outliving their accumulated resources and, in particular, the income ...Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking? During the 1996−2003 period, active mutual fund portfolios with higher management contractual incentives had lower probability ...What Motivates a Subprime Borrower to Default? The author models mortgages as a portfolio of three assets: a bond to replicate payment, a put option to foreclose, and a call ...What Volatility Tells Us about Diversification and Risk Management In the aftermath of the financial crisis that began in late 2007, many have wondered why none of the sophisticated risk models ...Bonds: Why Bother? The author examines two core views of modern finance about stocks and bonds and whether they are based on misconceptions. He ...The Moral Hazard Economy The author discusses side effects of the government bailouts. In particular, he expresses concern about the bailouts causing a ...Black Swans in Emerging Markets The author presents evidence of the extreme impact that outliers, or black swans, have on returns from investments in emerging ...Managing Systemic Counterparty Risk through a Redesigned Financial Architecture This article proposes a centralized financial utility that would mitigate systemic counterparty risk by guaranteeing against ...Technology-Induced Error in Currency AttributionPerformance attribution has become a valuable communication tool for managers and clients. A typical ...Risk is a Choice Rather Than a FateIn this editorial article from the Journal of Portfolio Management, André F. Perold comments on risk in the context of ...Risk Management Research ReportA compilation of interesting articles on risk management. Understanding Risk: The Theory and Practice of Financial Risk Management (a review) Understanding Risk: The Theory and Practice of Financial Risk Management is an excellent book for financial professionals who ...The Corporate Governance of Listed Companies: A Manual for Investors, Second EditionThe second edition of this manual, originally published in 2005, updates principles that help guide investors and shareowners in ...Banking Reforms for the 21st Century: A Perfectly Stable Banking System Based on Financial InnovationsThe authors in this article propose a system that remains stable even without deposit insurance, while rendering banks ...Catastrophic Risk and Credit MarketsReal estate transaction data indicate that the supply of catastrophic risk insurance continues to have a ...Does Freezing a Defined-Benefit Pension Plan Increase Company Value? Empirical Evidence This study empirically tests whether freezing or closing a defined-benefit (DB) pension plan increases the sponsoring company’s ...Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration Recent legislation and accounting rule changes motivate defined-benefit pension plans to manage the interest rate risk arising ...Crisis-Robust Bond PortfoliosApproaching the concept of a crisis-robust bond portfolio from a volatility standpoint, the authors define it as one ...The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option MarketsThe authors partition the implied volatilities from traded option prices into systematic and idiosyncratic components. ...Estimating Operational Risk for Hedge Funds: The ω-ScoreUsing a complete set of U.S. SEC filing information on hedge funds (Form ADV) and data from the Lipper TASS Hedge Fund ...ModelsThis article analyzes the methodology of modeling in the physical sciences and in finance. Whereas hobbyists’ models ...Investing Separately in Alpha and Beta (corrected May 2009) By analyzing the small avalanche of white papers, journal articles, books, and other sources of information on alpha–beta ...Handbook of the Equity Risk Premium (a review)The stock market’s reaction to the credit crisis of 2008 provides new evidence for solving the hotly debated ...A Movable FeastCan alternative assets continue to satiate diversification cravings?Systemic Credit Risk, Contagion, and the Pricing of Distressed Illiquid SecuritiesThe credit default swap index, the most credit-sensitive security, can provide an early warning of broader future ...Managing the Previously Unimaginable: Lessons from the Leverage UnwindsThe world is currently navigating through difficult economic and financial times. But the current crisis is more than ...Managing Assets in Turbulent MarketsInvestors need look no further than the current situation to see that turbulent markets are a fact of life. And with ...Risk Management: A Review The concept of risk has been central to the theory and practice of finance since Markowitz’s influential work nearly 60 years ...How Well Can Multi-Manager Funds Diversify?In multimanager funds, several managers work with the same investment universe but use different sources of information ...Applying Regret Theory to Investment Choices: Currency Hedging DecisionsThe authors develop a model that has two components of risk: traditional risk (volatility) and regret risk. They apply ...Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate BondsIn this article, the authors define latent liquidity, a new measure that can be used to characterize the liquidity of ...Does Financial Distress Risk Drive the Momentum Anomaly?The authors present Fama–French and Fama–MacBeth regressions to analyze financial distress risk and momentum in U.K. ...Leveraged ETFs: A Risky Double That Doesn’t Multiply by TwoLeveraged exchange-traded funds are a new investment vehicle designed to deliver a multiple—commonly two times—of the ...Models This article analyzes the methodology of modeling in the physical sciences and in finance. Whereas hobbyists’ models aim for ...The Second Moment This brief article discusses the statistical “second moment” that measures the variability in a distribution. Over the years, ...Estimating Operational Risk for Hedge Funds: The ω-Score Using a complete set of U.S. SEC filing information on hedge funds (Form ADV) and data from the Lipper TASS Hedge Fund Database, ...Unknown UnknownsIn the wake of the crisis, risk managers have more questions than answers.Price Momentum and Idiosyncratic VolatilityThe momentum anomaly is the observed regularity that on average, stocks that have recently performed well continue to ...Performance of Distressed BondsThe asset class of distressed debt is composed of bonds, loans, and other claims that are either in default or at ...Risk Budgeting, Parameter Uncertainty, and Risk RealizationsRisk budgeting refers to the process of constraining the tactical deviations from strategic portfolio weights by ...Hedging Liquidity Risk: Potential Solutions for Hedge FundsThe authors examine liquidity risk and look at some new derivative instruments that can be used to hedge against ...Contingent Claims Approach to Measuring and Managing Sovereign Credit RiskContingent claims analysis (CCA) is the application of option-pricing theory to the valuation of assets, the future ...Challenges in Quantitative Equity ManagementSince the late 1990s, a large percentage of assets under management has flowed into quantitatively managed funds, ...Black Monday and Black SwansInvestors need to be aware that rare events with an extreme impact that, afterward, we think we could have predicted—in ...Risk Management for Event-Driven FundsMany portfolio strategies are “event driven” (i.e., designed to benefit from price movements caused by corporate ...How Variation in Signal Quality Affects Performance The information coefficient (IC), the correlation between forecasted and realized return, is a popular measure of signal ...Modeling Credit Risk in Fixed-Income PortfoliosCredit risk modeling encompasses three variables of differing importance. These variables, from most to least important, are ...Implied Volatility and Future Portfolio ReturnsThe level of the Chicago Board Options Exchange Volatility Index (VIX) has been shown to predict returns on equity ...Professional Trader Order-Selection and Prior OutcomesEnvironmental, Social, and Governance Factors at Listed Companies: A Manual for InvestorsSuccessful investing is dependent on one's ability to discern the factors that influence the market's ...Custom Factor Attribution Portfolio analysts often use one set of decision variables for attributing portfolio returns and a different set for attributing ...Black Monday and Black Swans Investors need to be aware that rare events with an extreme impact that, afterwards, we think we could have predicted—in short, ...A Copula Approach to Value-at-Risk Estimation for Fixed-Income PortfoliosThe authors use a t-copula approach to estimate fixed-income value at risk (VAR). Using data from the French government ...The Theory of Optimal Life-Cycle Saving and Investing How much should a family save for retirement and their kids’ college education? How much insurance should they buy? How should ...Session 1 Comments by Deborah Lucas Life-cycle theory, as presented in the authors’ paper, offers six important concepts, three of which—contingent claims, prices ...Session 1 Comments by Philip Dybvig The goal of the paper being discussed is to make life-cycle theory more accessible to a general audience. The paper reflects on ...Innovative Retirement Income and Old-Age Insurance Products: Insurance and Income Annuity Solutions Income annuities should not be overlooked when choosing a mix of products for retirement income. Annuities can provide fixed or ...The Life Care Annuity Life care annuities address inefficiencies in the market by combining a life annuity and long-term care insurance, thus blending ...The Role of Government in Life-Cycle Saving and Investing As employers are withdrawing from providing both defined-benefit retirement plans and postretirement health care benefits, ...Session 5 Comments by John Shoven Employers have changed their retirement benefits offerings because of financial realities, one such reality being the costs ...Session 5 Reply by Alicia Munnell Businesses are right to drop defined-benefit pension plans, but institutions must be designed to replace them. Although ...The Need to Save More The U.S. workforce is mobile and always has been, which is one of the reasons that few workers accrue adequate savings. ...The Role of CFA Institute Almost all individuals today need education in economics, but high schools treat such education as an afterthought. Furthermore, ...The Challenges of Investor Education Investors need to be taught the basic concepts of personal finance according to economic principles. Unfortunately, educators ...Is Personal Finance a Science? Personal finance is an inexact science. For example, life-cycle retirement mutual funds are based on the unproven belief that ...The Future of Retirement Planning The next generation of retirement products will provide the user-friendliness and simplicity of defined-benefit plans, but they ...Introduction In this session, Blitzstein summarizes and reflects the discussions of previous presenters, Salisbury discusses the importance ...The Crisis in Retirement Plans Although the theory behind the paper of Bodie, Treussard, and Willen may be sound, its principles are not appearing in current ...Sustaining Retirement Income—Barriers and Dreams As the payout period becomes increasingly important in retirement planning, individuals and organizations must consider the ...Risk Management for Event-Driven Funds Many portfolio strategies are “event driven” (i.e., designed to benefit from price movements caused by corporate events, such as ...Applying Modern Risk Management to Equity and Credit AnalysisTraditional conventions of accounting and actuarial science distort the valuation of capital risk in corporations with ...The Slope of the Term Structure of Credit Spreads: An Empirical InvestigationCredit spread slopes of corporate bonds reveal changes in the direction of future short-term credit spreads and thus provide ...Yield Elasticity: A New, Objective Measure of Interest-Rate RiskDuration is not a good indicator of interest rate risk for coupon bonds because it explains only a small portion of the ...Quantification of Hedge Fund Default RiskBalancing the Opportunities in Real Return InvestmentsBy concentrating on risk-adjusted real return rather than total return, the Ontario Teachers’ Pension Plan (OTPP) has ...Trading Patterns and Excess Comovement of Stock ReturnsIn April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index redefinition allowed for a study of the ...What Every Investor Should Know about Commodities Part I: Univariate Return AnalysisThe authors use daily data to explain the return properties of 42 commodities for up to a 40-year time period. Results are ...Tail TalesIs your risk model telling you the whole story? “People are sitting on explosives,” says one expert.Quantitative Research in Fixed-Income Portfolio ManagementQuantitative research is a great addition to an investment process. It is complementary to fundamental ...Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies (a review)This collection of articles covers numerous key fixed-income topics, addresses many of the practices currently ...Interest Rate Swaps: Accounting vs. EconomicsWith interest rate swaps being the most widely used of all financial derivative contracts, financial analysts and engineers ...Optimal Allocation to Real Estate Incorporating Illiquidity RiskThe authors investigate whether allocations to real estate by the average U.K. pension fund, which are considerably lower than ...Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability ManagementThe use of bond futures and options on bond futures to manage interest rate risk from both asset management and asset/liability ...Do a Firm’s Equity Returns Reflect the Risk of Its Pension Plan?Don’t Kill the Golden Goose! Saving Pension PlansDefined-benefit (DB) pension plans are an endangered species; they are perceived as too risky and costly. But the emerging ...Quantitative Management of Bond Portfolios (a review)Offering clear, empirically based solutions to many of the practical challenges of running a bond portfolio ...Risk: The Hottest Four-Letter Word in Financial MarketsThe future is uncertain, so we can never know what will happen. Indeed, risk would not exist if we could correctly anticipate the ...Risk Capital Allocation: Beyond Traditional Asset Allocation ApproachesA new paradigm of investment management is on the horizon, one that defines portfolios as bundles of risk to be managed ...Credit Risk and the Link between Default and Recovery RatesThe U.S. high-yield bond market has grown dramatically in the past three decades, reaching more than $1 trillion in outstanding ...Irrational Exuberance RevisitedSpeculative bubbles have long been a feature of financial and asset markets, both in the United States and elsewhere. Although ...Credit Risk This review provides a comprehensive survey of recent quantitative research on the pricing of credit risk. It also explores two ...The Efficiency Gains of Long-Short Credit StrategiesMost fixed-income portfolio managers are limited to long-only investment strategies. In this paper, the authors estimate the ...Using Dynamic Programming to Optimally Rebalance PortfoliosCosts of rebalancing are nontrivial, and conventional approaches often do not correctly account for “frictional” costs or ...The Sense and Nonsense of Risk BudgetingA framework is described for the optimal allocation of active risk among broad asset classes or external asset managers. Unlike ...Why Company-Specific Risk Changes over TimeCompany-specific risk climbed steadily between 1962 and 1999 in the U.S. market but fell sharply between 2000 and 2003. This ...Risk: The Hottest Four-Letter Word in Financial MarketsThe future is uncertain, so we can never know what will happen. Indeed, risk would not exist if we could ...Irrational Exuberance RevisitedSpeculative bubbles have long been a feature of financial and asset markets, both in the United States and ...Optimal Hedge Fund Allocations: Do Higher Moments Matter?Although mean–variance analysis is the typical tool for optimizing portfolios, it may not be the optimal tool for portfolios ...Credit Risk and the Link between Default and Recovery RatesThe U.S. high-yield bond market has grown dramatically in the past three decades, reaching more than $1 ...Using Credit Derivatives to Enhance Return and Manage RiskThe credit derivatives market is growing rapidly in size as well as importance. Credit default swaps, the ...Flight SafetyWhat do equity risk models and fighter jets have in common?Absolutely, Relatively AsymmetricalAlexander Ineichen, CFA, seeks equity-like returns on the upside and bond-like volatility on the downside.Covariance Misspecification in Asset AllocationSeries of returns to broad asset classes often possess histories of unequal length and have been subject to smoothing. Estimates ...Crash-O-Phobia: A Domestic Fear or a Worldwide Concern?This paper shows that the asymmetrical "smirk" pattern found in the implied volatilities of U.S. equity options exists ...A Factor Approach to Asset AllocationThe authors contend that an additional set of global market factors can be used to further diversify a global portfolio's risk ...The Symmetric Downside-Risk Sharpe RatioThe standard Sharpe ratio performance measure penalizes the high returns of Warren Buffett's Berkshire Hathaway fund because of ...Copulas and CoherenceRisk: The Final FrontierWhen it comes to psychological factors, does modern risk management have a blind spot? Risk Allocation and Portfolio ConstraintsConscious consideration of risk allocation must be paired with asset allocation if diversification is to have ...Hidden Risks to the Long-Term Goals of Pension PortfoliosThe investment policies of defined-benefit plans are designed to maximize the long-term funding ratio ...The Oxford Guide to Financial Modeling: Applications for Capital Markets, Corporate Finance, Risk Management, and Financial Institutions (a review)Through steady and consistent writing, the authors deliver a unified approach in a single volume to a subject that covers all of ...Ex Post Reality versus Ex Ante Theory of the Fundamental Law of Active ManagementActive portfolio managers seek to maximize the information ratio. Because the information ratio is determined using several ...Corporate Failure and Equity ValuationAn important problem for portfolio managers is how to adjust the valuation of equity for the risk that the company may fail. ...Most Nobel MindsIn a CFA Magazine exclusive, Peter Bernstein moderates a roundtable discussion among five Nobel laureates whose work has ...Part and ParcelThis article addresses the following key points: Risk management is both art and science, and solutions vary according to firm ...Value and Risk: Beyond Betas Risk can be both a threat to a company's financial health and an opportunity to get ahead of the competition. Most analysts, ...Active Risk Budgeting in Action:To optimize asset allocation weights for hedge funds and traditional stock and bond investments, investors need to truly ...How Risky are Illiquid Investments?Using historical data in asset allocation models leads to inappropriate allocations among asset classes. The authors use public ...The Risk and Return of Venture CapitalThe author measures the performance of venture capital investments by using a maximum-likelihood estimate technique that adjusts ...Sifting through the Wreckage:The authors decompose hedge fund risk by examining the TASS hedge fund industry database. They explain attrition rates by ...Taking a Close Look at the European Fund of Hedge Funds Industry:The gap between theory and practice within the European fund of hedge funds industry is significant. A survey of 61 European ...Trends in Private EquityThe leveraged buyout and corporate restructuring private equity market has grown rapidly and matured in recent years. What was an ...Integrating Hedge Funds into the Traditional PortfolioHedge funds are often used for risk reduction because they reduce the standard deviation of the traditional stock and bond ...Value and Risk:Risk can be both a threat to a company's financial health and an opportunity to get ahead of the competition. Most analysts, when ...New Kids on the BlockQuantitative models and techniques have played a growing part in the investment management process over recent years and, ...Active Risk and Information RatioActive managers must contend with the active risk (essentially, the tracking error of the risk model) of their strategies. The ...Toward More Information-Efficient PortfoliosWhen certain constraints are imposed on portfolio managers, their ability to efficiently capture alpha is diminished. Managers ...Practical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Emerging Market Risk PremiumsThis article addresses the following key points: Fiscal and political stability in emerging markets has lowered risk. ...Pension Plans on a Quest for AlphaThis article addresses the following key points: Past outperformance of currency managers resulted from highly ...Value and Risk: Beyond BetasRisk can be both a threat to a company’s financial health and an opportunity to get ahead of the competition. Most analysts, when ...Innovations in Credit Risk ModelingThree classes of credit models span most of the space of credit-modeling technology: structural (Merton), reduced form, and ...Managing Portfolio Risk with Credit DerivativesAlthough futures, swaps, and options provide effective means for managing most of the main types of fixed-income portfolio risk, ...REIT and REOC Systematic Risk SensitivityAlthough REITs and real estate operating companies (REOCs) both invest almost exclusively in real estate, ...Where Risk Control Meets Cost Control in Analytics DevelopmentThe authors advocate the development of analytical tools that help refine the investment decision-making ...Trends in Quantitative Asset Management in EuropeEuropean asset management firms have increased their use of quantitative models with improved model ...Determinants of Tracking Error for Equity PortfoliosTracking error measures the dispersion of a portfolio's active return, which is the difference between the ...Optimal Active Risk Budgeting ModelA fund manager allocating capital to active managers across and within different asset classes must manage ...Defining RiskThe financial literature frequently mentions risk, but it lacks a widely accepted definition of risk. This ...Conditional Performance Evaluation, RevisitedA difficult task for performance-minded investors is determining whether a manager's success is a result of ...Risk and Volatility: Econometric Models and Financial PracticePractical Issues in Forecasting VolatilityA comparison is presented of 93 studies that conducted tests of volatility-forecasting methods on a wide range of financial asset ...Hedge Fund Risk Fundamentals (a review)Although this book may have been intended largely to be a marketing tool for the author's risk measurement model, it contains an ...Principles of Financial Engineering (a review)This readable, wide-ranging, practical, and wise book introduces the entire field of financial engineering and covers it in a ...Can We Keep Our Promises?We cannot pursue returns sensibly without measuring our risks sensibly. For pension funds, three risks—not classic standard ...Defining RiskThe financial literature frequently mentions risk, but it lacks a widely accepted definition of risk. This omission is no ...Conditional Performance Evaluation, Revisited Traditional performance evaluation assumes that investment styles and economic states remain constant. Conditional performance ...Diversifying Concentrated HoldingsMeeting the special needs of clients who have concentrated equity holdings has become a productive way for investment managers to ...The Handbook of Risk Management: Implementing a Post-Crisis Corporate CultureThis book addresses critical risk management issues following the recent crisis and provides techniques and tools to better ...Issues in Risk Management (Take 15 Series Transcript)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Does Your ETF Own Derivatives?This interesting article highlights the use of derivatives in ETFs and gives six rules for determining whether an ETF uses ...Fees at RiskDr. Scherer examines this key issue for asset management firms and discusses the desirability of hedging of production risk and ...Risk Management in Fund of Funds Portfolios (Take 15 Series Transcript)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Global Risk Transfer MarketThe report compares OTC and exchange-traded derivatives by analyzing the size of the markets, collateral requirements, and ...Lessons from the Financial CrisisLeading academics and industry authorities cover all aspects of the global financial crisis of 2008, including the roots of the ...Into the Abyss: What if Nothing Is Risk Free?A key assumption in corporate finance and investment analysis is the existence of a risk-free investment, but during the ...Regulators Double DownThe brief article introduces the challenges of addressing extreme tail risk and discusses the development of the Basel frameworks ...The Euromoney Risk Management Handbook 2011This handbook discusses current risk management topics of importance such as operational risk, credit risk, and issues facing the ...Global Risks 2011This extensive report analyzes risk and how it is evolving from a global perspective. It examines how risks impact various ...The European Fund Management Industry Needs a Better Grasp of Non-Financial RisksThis paper looks at how nonfinancial risks and failures have had an effect on the regulatory agenda in Europe and traces the ...Financial Risk Manager HandbookThis book reviews a variety of risk management topics including market, credit, liquidity, and operational risk. The author ...Essays in Derivatives: Risk-Transfer Tools and Topics Made Easy This book reviews a myriad of derivatives topics and examines their pricing characteristics and application to risk management. Intra-Horizon RiskIntra-horizon risk is the risk of violating a minimum threshold at any point within an investment horizon rather than simply at ...U.S. Consumer Credit RiskThis survey produced by PRMIA analyzes consumer credit risk in the U.S., including risk management priorities, issues with ...What Models Do We Need For Risk Management?This article discusses model risk and the appropriate models and use of models that lead to effective risk management. Risk Management Lessons from the Global Banking Crisis of 2008 Read risk management observations for 2008 in this report from the Senior Supervisors Group. Risk Management under UCITS III/IV: New Challenges for the Fund IndustryThis book shows how asset managers, fund administrators, management companies and risk departments can satisfy the various ...The CrisisIn this draft paper presented at the Spring 2010 conference of the Brookings Papers on Economic Activity (BPEA), former Federal ...Containing Systemic Risk: The Road to ReformThis report focuses on the steps that must be taken by the private sector to reduce the frequency and/or severity of future ...Transparency in Treasury Management: A Guide to Counterparty Risk ExposureFinancial risk exposures, including counterparty credit risk, need to be properly addressed; upcoming regulations on transparency ...Some Observations and Lessons from the CrisisRead the transcription of the Federal Reserve Bank of New York executive vice president's remarks from the Third Annual ...Rebuilding Trust: Next Steps for Risk Management in Financial ServicesThis report examines the steps that banks and insurers around the world are taking to reinforce their risk management ...Risk Management Research Report: Spring 2010This quarterly report from the School of Business at Loyola University Chicago presents summaries of recently published, relevant ...Volatility - The Good, the Bad and the UglyIn this white paper, the author looks at the multifaceted nature of volatility and examines hedge fund returns during periods of ...On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard FormulaThis EDHEC study finds the correlation coefficient for private equity performance versus that of listed equity markets is ...Strengthening the Resilience of the Banking SectorIn this report by the Bank for International Settlements (BIS), the Basel Committee on Banking Supervision sought comments on ...Portfolio Margining: Recent Developments and Innovations In Single Stock Concentrated Risk ManagementThe prepaid variable forward has been the subject of a number of unfavorable tax rulings that conclude that hedging appreciated ...EDHEC Survey of the Asset and Liability Management Practices of European Pension FundsThis survey from EDHEC reviews the challenges that European pension funds have with hedging their liabilities, gaining access to ...Risk Control through Dynamic Core-Satellite Portfolios of ETFsAsset managers generally focus on diversification or returns predictions to create added value in exchange-traded funds (ETFs) ...UCITS IV: The Path to Greater Efficiency This paper proposes strategies for capitalizing on the opportunities that may come from UCITS IV, which could potentially create ...Oil Prices: The True Role of SpeculationThis position paper presents a review of the rise in oil prices from a risk perspective (PDF). Foundations of SandReliance on quantitative models alone without a healthy dose of judgment is like building on a house of sand, it is destined for ...Global Risks 2012 - Seventh EditionThis report, from the World Economic Forum, examines a group of global risks from a current and historical perspective. It ...2012: Another Year of Living Dangerously2012 is fraught with uncertainty and geopolitical risks that will need insightful judgment in order to successfully navigate the ...Positioning Portfolios for Turbulent TimesInvestors are investing in a time of turbulence. This turbulence is not unusual, but it might seem unusual because ...Understanding Expected ReturnsInvestors tend to think of expected returns as a function of asset class risk, but this thinking may have led them to ...Opalesque Roundtable Series 2012 - BrazilThis roundtable discussion by prominent Brazilian investors examines various investment strategies and vehicles being utilized in ...Beyond GIPS Compliance: Maximizing ValueThe work required to claim and maintain compliance with the GIPS standards can add value beyond just making the statement of ...Factions and Finance in China: Elite Conflict and InflationThis book on the Chinese banking sector is one of the first to develop a framework analyzing the impact of elite politics on both ...New Measures of Risk (and Why Markets Are Now Very Fragile) Understanding risk is essential to successful investment management, yet most common measures, like beta, capture only risk ...The Flaws of Finance Watch an archive of James Montier's conference session in which he discusses: How bad models, bad behavior, bad ...Resolving Implementation Issues Facing Emerging Market InvestorsDonald Lindsey, CFA, discusses different risks in emerging market portfolios, including liquidity, currency, execution, leverage, ...Optimizing Retirement PortfoliosThomas M. Idzorek, CFA, investigates various approaches for optimizing retirement portfolios by choosing strategies to mitigate ...Opalesque Campus: Top Hedge Fund Academic - Operational Due Diligence as a Source of Alpha This video examines operation risk including the challenges in measurement due to multidimensional characteristics, separating ...Think Differently: Off-the-Grid Economic IndicatorsNicholas J. Colas discusses why traditional economic indicators are inadequate tools for valuation and how investors can adjust ...The Risk Factors and Economic Impact behind Commercial and Sovereign Debt (Take 15 Series)Stephen G. Cecchetti discusses commercial bank leverage, calculating risk weightings, and the long-term effects of excessive ...Evolution of Risk Reporting: What’s Next? (Take 15 Series)Clients are demanding increased risk monitoring and control capabilities across all asset types. This session reveals the latest ...Trends in Investment Reporting and Challenges in Performance Reporting to Private Wealth Clients (Take 15 Series)This Take 15 interview with James M. Edmonds, CFA, sheds light on the intricacies and challenges of performance reporting for ...Risk Management and the Rogue TraderWhether it is the latest risk management nightmare at UBS, managing the ongoing complexity of a financial or trading operation, ...Opportunities and Risks in the Coming Double Dip Sean J. Egan examines the drives that caused the global economic breakdown and some newly developing credit crisis possibilities. ...Evaluating Performance Attributions and New Models to Measure Risk (Take 15 Series) Carl R. Bacon, CIPM, a performance measurement specialist, discusses the evolution of performance attribution, the latest ...Managing Volatility of Emerging Markets Bud Haslett, FRM, CFA, and Matthew T. Moran present an overview of implied and historic volatilities for key emerging markets, ...How Long Can China Grow? Government Policies and Implications for the Investment Industry Michael Pettis discusses the strengths and vulnerabilities of China’s current investment model, including the effectiveness of ...Synthetic Risk and Reward Indicator: Simplifying or Over-Simplifying Risk? (Take 15 Series) Paul D. Kaplan, CFA, shares his analysis of the Synthetic Risk and Reward Indicator (SRRI) that has been introduced by the ...Managing Emerging Market RiskPIMCO's Masha Gordon discusses how investing in emerging markets represents secular opportunities, but cyclical challenges ...Pension Investing Assuming True Uncertainty (Japanese Language Version)Daisuke Hamaguchi argues that asset management based on the mean variance model of modern portfolio theory is not working, ...Risk Master Addresses Hedge Fund RiskDeepak Gurnani addresses risk management as it relates to hedge fund investments, including an analysis of managed accounts and ...Estimating Portfolio Return Expectations The panelists discuss the outlook for various asset classes. Topics include the strategic horizon perspective and the ...Predatory Trading, Crowded Exits, and Other Unusual Risks in Short SellingJames B. Clunie, CFA, ASIP, examines the vulnerabilities of short sellers that many investors and firms fail to recognize ...A Sociologist’s View on Credit Derivatives (Take 15 Series) Donald MacKenzie gives a sociologist’s perspective on the capital markets and discusses how cultural differences within firms ...The Evolution of Risk ManagementStan Beckers explores several risk management issues and questions, including whether the underlying theories and assumptions of ...Gold as an Asset Class Marcus Grubb discusses the role of gold in the commodity super cycle and how the supply and demand will unfold in 2011 and ...Hoping for the Best, Preparing for the Worst . . . in Japan Dylan Grice describes Japan’s unprecedented predicament of being a large creditor nation with a bankrupt government and a ...Managing Unquantifiable Portfolio Risks: Politics, Policy, and GeopoliticsPippa Malmgren discusses the importance of understanding the relationship between inflation and recent geopolitical developments. ...Farewell, Punch Bowl: From Inflation Targeting to Credit Targeting Russell Napier, ASIP, argues that central bankers are now targeting credit growth instead of inflation. He discusses how asset ...Risk Capital AllocationBrian D. Singer, CFA, explores new frameworks and best practices for allocating risk capital globally and discusses global risk ...Is the Endowment Model Shifting?Changes to the endowment model and related risk management practices since the financial crisis are the focus of this panel ...New World Bond Management: A Practical Framework for Decision MakingWilliam Nemerever, CFA, explains how to translate the question “Why own bonds?” into an effective portfolio and how to turn the ...IMF on Systemic Liquidity RiskIn this video, Jeanne Gobat from the monetary and capital markets department of the IMF discusses key points on liquidity risk ...Investing Opportunistically to Build Stronger Global PortfoliosLeo J. de Bever discusses building a robust, opportunistic, and often contrarian global investment program and how to identify ...The Myth of Diversification: Risk Factors vs. Asset ClassesSébastien Page, CFA, identifies key risk factors that drive rates of return and discusses the changing nature of correlations and ...Portfolio Management and Geopolitical RiskJames G. Rickards discusses the principal geopolitical risks affecting investors today and how to integrate these risks with ...Geopolitical Risks and Trends (Take 15 Series)Kevin Kajiwara discusses the global investment implications of current geopolitical trends and risks. The Take 15 Series is a ...Asset and Risk Allocation StrategiesBrian D. Singer, CFA, discusses new frameworks and best practices for allocating risk capital globally as well as nonlinear ...Skulls, Financial Turbulence, and Risk ManagementThe recent financial crisis revealed weaknesses in the way we measure and manage risk. Mark Kritzman, CFA, discusses the ...Kann die Sollrendite noch erreicht werden? [Can the Target Return Be Achieved?]This session, presented in German, discusses the dilemma pension funds are facing. The risk-free interest rate is currently so ...Inflation: An Ounce of ProtectionVincent L. Childers, CFA, discusses how inflation impacts investment portfolios and how an explicit hedging strategy might be ...Equity Risk Premiums (Take 15 Series) Clifford S. Asness discusses a recent roundtable meeting on the equity risk premium (ERP) where forecasts for the future ERP ...Should Asset Management Firms Hedge Their “Fees at Risk”?Asset management firms often experience swings in their revenues and profits due to changes in asset-based fees. In 2008, they ...Currency Considerations in an International PortfolioTarun Ramadorai argues that conventional theories of exchange rates do not work. He also discusses the returns and risks of ...Portfolio Investing and Political Risk in Emerging MarketsAlison Adams identifies tradable versus nontradable political risks and explains how investors can use political risk to maximize ...Managing Portfolio Risk in Today's Changing Environment In the wake of the recent congressional passage of financial reforms, banks, hedge funds, and other financial firms are ...Applying Asset Liability Management to Private Wealth Management (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Corporate Governance of Asian CompaniesAt a CFA Society of Japan event, David Smith discusses the evolution and broad definition of corporate governance in Asia and ...Debate: Two Years After LehmanThis webcast provides a discussion of what has and is likely to change for European investment and commercial banks two years ...Due Diligence and Hedge Fund InvestingIn this webcast, Stephen J. Brown looks at the importance of operational due diligence for institutional hedge fund investors, at ...Risk Management in Fund of Funds Portfolios (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Capital Management This presentation on the topic of capital management as it applies to managing wealth was given in Guangzhou, China. Concepts ...Rethinking Risk and DiversificationThe Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Volatility and Tax-Aware Investment Management (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Wealth Preservation for Long-Term Global Investors: Actively Hedging U.S. Dollar Asset Values In this webcast, Ronald Liesching discusses whether the U.S. dollar is the best currency unit in which to store wealth, the ...Issues in Operational RiskPenny Cagan interviews Man Group’s Jonathan Howitt on operational risk issues including current trends and whether these trends ...Estimating Market Volatility with Sentiment Data (Take 15 Series) The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Applying Financial Engineering to Wealth Management (Take 15 Series) The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...The Art and Science of Hedge Fund Manager Selection In this webcast, Ted Seides, CFA, discusses the following: Understanding the manager selection process Analyzing the ...Issues in Risk Management (Take 15 Series) The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Associate PRM Risk Management Training Webinar Series Designed by industry leaders, the Associate PRM Risk Management Training Webinar Series covers the core concepts of risk ...Lunch with a Laureate: Robert MertonIn this video, Robert Merton gives a talk that covers, among other things, derivatives and addresses a range of questions from ...Currency as an Asset Class and Forward Rate Bias: Perspectives from Asia and Europe In this interview, Neil Record discusses currency as an asset class, especially from the viewpoint of investors in Asia. Topics ...Understanding the Risks in UCITS III FundsIn this webcast, James B. Clunie, CFA, ASIP, discusses the following: Warning! Not all UCITS III funds have the same risk ...Options for Managing VolatilityAs investors have struggled to cope with bear markets over the past decade, more attention has been focused on alternative ...VIX IndexIn this webcast, Bud Haslett, CFA, discusses the following: What is the VIX Index and how is it calculated? Are there ...Five Minutes with Elena AmbrosiadouIn this webcast, hedge fund founder Elena Ambrosiadou discusses issues in hedge funds and risk management. Market View of Credit Risk: Making Sense of CDS Volatility This webcast from Standard & Poor's presents an overview of CDS Markets and analysis and interpretation of credit spreads ...Advances in Asset Allocation (Take 15 Series)The Take 15 Series is a series of short interviews with leading practitioners on timely topics focused on the investment ...Risk Management with Robert MertonLearn about the possible impact of the increasing importance of sovereign wealth funds, how accurate data is critical to risk ...Liquidity Risk AnalysisIn this webcast, Erin Abouzaid discusses the following: The importance of being compensated for illiquidity when investing ...CDS and Market Distress This webcast, entitled "CDS and Market Distress," was contributed by the New York Society of Security Analysts ...Liquidity Risk Management: A New Priority on Management AgendasThis webcast examines liquidity risk management including governance and risk appetite, the evolving regulatory environment, and ...Risk and Reward Across the Public and Private High-Yield Credit Markets In this webcast, Sheldon M. Stone discusses the following: How do valuations differ between the public and private debt ...Overcoming the Credibility Crisis In this webcast, Diane Garnick discusses the following: Earning back the trust of investors Anticipating and ...Housing TodayIn this webcast, David M. Blitzer discusses the following: Where we are in the market cycle now Changing ...Factoring Politics into Investment StrategiesIan Bremmer, author of The Fat Tail, offers insights into political risks we are currently facing. A Short Seller's Guide to Risk Management In this podcast, James B. Clunie, CFA, ASIP, discusses the following: Understanding the risks that short sellers ...Nickels in front of the Steamroller: The Return of Qualitative Risk Management In this webcast, presented in partnership with the Chartered Alternative Investment Analyst (CAIA) Association, Jamie Raboy ...White Swans, Revulsion, and ValueIn this webcast, James Montier discusses the following: The current crisis can be called a predictable surprise, not a ...Phased Retirement In this webcast from the 2008 Future of Life-Cycle Saving and Investing conference, Teresa Ghilarducci, Alicia H. Munnell, and ...Health Care and Assisted Living for the Elderly In this webcast from the 2008 Future of Life-Cycle Saving and Investing conference, Robert N. Butler, Amy Finkelstein, and ...Black Monday and Black Swans The knowledge that black swans can and do occur holds important lessons for how we think about risk. Those who are trying to ...Asset Allocation Strategies and Manager SelectionIn this podcast, Hilda M. Ochoa-Brillembourg, CFA, discusses the following: Assessing fund objectives and determining the ...From Beta to Exotic Beta to AlphaIn this webcast, Robert B. Litterman discusses the following: Optimizing the spectrum of return sources to achieve a ...New Strategies and Best Practices to Manage Single-Stock Concentration RiskIn this podcast, Thomas J. Boczar, CFA, discusses the following: Investment tools that can be used to achieve economically ...Recent Evolution in the Fixed-Income MarketsIn this webcast, Tad Rivelle discusses the following: Innovations in leveraging that have dramatically expanded ...Client Strategies for Concentrated Stock Positions In this webcast, Brad Berggren discusses the following: Investment and tax effects of various popular hedging strategies ...Retirement Income Redesigned: Master Plans for Distribution In this webcast, Harold Evensky discusses the following: The future isn't what it used to be—the changing environment ...Peter L. Bernstein on RiskIn this webcast, Peter L. Bernstein discusses historical and current issues in risk management. Systemic Risk in Structured Products (Take 15 Series)The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...Hedge Fund Demand for Equity Tranches in CDOs (Take 15 Series)The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...The Pricing of Illiquid Securities in the Subprime Space (Take 15 Series)The Take 15 Series is a series of 15- to 20-minute interviews with leading practitioners on timely topics in market and credit ...Liability Driven InvestingIn this webcast, Carl Hess discusses the following: LDI: Strengths and shortcomings, and why now? Ways to hedge ...Alpha vs. Beta and Other NonsenseIn this webcast, Jason MacQueen discusses the following: Myths that obfuscate our thinking about the realities of active ...Index Changes and Losses to Investors: S&P 500 and Russell 2000 Index FundsWatch a free webcast presentation by Vijay Singal, CFA, on his July/August 2006 FAJ article “Index Changes and Losses to ...Hedge Funds: Risk and Return Atanu Saha offers a Q&A session based on his November/December 2005 FAJ article Hedge Funds: Risk and Return (authored with ...Regulation, Speculation, and CompetitionThe Honorable Susan Phillips from the Commodity Futures Trading Commission discusses how functioning, liquid markets can serve ...Potential Regional Divide in Derivatives Rules Causes ConcernThis Financial Times interview with the chairman of ISDA addresses regulatory issues such as regulatory arbitrage and trends ...Managing Risks in China InvestmentsKevin Pollack from Paragon Capital discusses investments in China and how to manage risk in such investments by employing ...Benefits of Reducing VolatilityThis video examines low volatility investing including concepts of analyzing the risk-reward tradeoff, risk budgeting and ...Strategies for Controlling RiskThis video examines the concept of a glidepath where analysis of current investments and risk level combined with future goals ...Certificate in Quantitative Finance - OnlineThe Certificate in Quantitative Finance (CQF) is a six-month part-time course for individuals working in, or intending to move ...Commercial LendingHelps commercial lenders understand businesses and their borrowing needs, evaluate risks, and make good credit decisions. ...Small Business LendingFocuses on the topics most relevant for the lender to small businesses, with an emphasis on effective assessment of financial, ...Primary Elements of Business LendingProvides exposure to the world of business lending and an overview of the credit risk assessment activities that support it. ...Analyzing Commercial Real EstateBuilds skills in credit risk assessment, loan decision making, structuring, and pricing among commercial property analysts and ...Hedging Currency Risk with DerivativesThis course examines currency risk and compares alternative hedging strategies using forward contracts and over-the-counter ...Loan StructuringThis course will introduce you to the elements of structuring a loan from both the borrower's and the lender's point of view. You ...Portfolio Management of Credit AssetsCredit portfolio managers are concerned not only with the standalone risk of individual loans but also with portfolio risk. This ...Understanding UncertaintyA background in the basic principles of uncertainty is essential to understanding all kinds of risk. This course presents an ...Portfolio ReturnsThis course defines a portfolio of securities and explains how to track its performance through portfolio returns. Continuing ...Portfolio RiskPortfolio returns only gain real significance when the amount of risk taken to obtain those returns is considered. This course ...Monte Carlo Simulation and VARThis course explains how Monte Carlo simulation is used for computing value-at-risk (VAR), particularly for complex portfolios ...Operational Risk: Quantification and MitigationThis course examines the importance of operational risk in today's financial environment. The course describes operational risk ...Portfolio DiversificationThis course explains the mechanics behind portfolio diversification, particularly how each element of a portfolio affects its ...Probability Distribution of ReturnsThis course illustrates how past returns can be used to predict future returns. Continuing Education Information As a ...Value-at-Risk (VAR)This course introduces Value-at-Risk or VAR, a measure used by financial practitioners to quantify their exposure to ...Introduction to Monte Carlo SimulationThis course describes Monte Carlo simulation, a technique that uses random numbers to calculate possible future returns based on ...Operational Risk FundamentalsThis course is an introduction to operational risk. The course examines the importance of operational risk in today's financial ... Conversation on Twitter Loading ... Continuing Education Progress CFA Members, log in to record credits towards your continuing education. Annual recommended minimums:20 CE, including 2 SER. Manage Your CE Credits CeDiarySummary Most Viewed CFA Institute / Harvard Business School: Investment Management Workshop Understanding Expected Returns Overcoming the Credibility Crisis Top Rated Portfolio Management and Geopolitical Risk Issues in Operational Risk Inflation: An Ounce of Protection Looking for Something Specific? Search our library for more on risk management. Subscribe to risk management content Access our contact specialists