Research

Journals

• Volatility Forecasts and At-the-Money Implied Volatility
• Inflation Risk Across the Board
• Extensions of the Merger Arbitrage Risk Model
• Measuring the Quality of Hedge Fund Data
• Capturing Risks of Non-transparent Hedge Funds

• Portfolio Credit Spread Risk
• Backtesting Risk Methodologies from One Day to One Year
• Measuring Risk on Credit Indices: On the Use of the Basis
• Developing an Equity Factor Model for Risk
• Merger Arbitrage Risk Model

• Distribution of Defaults in a Credit Basket
• Risk Budgeting for Pension Plans
• Incorporating Equity Derivatives into the CreditGrades^™ Model
• Adaptations of Monte Carlo Simulation Techniques to American Option Pricing

• Fixed Income Risk Attribution
• Issues int the Pricing of Synthetic CDOs
• Risk Management for Non-Financial Corporations

• Examples and Applications of Closed-Form CDO Pricing
• Liquidity Risk: Current Research and Practice
• Interest-Rate Expectations in Recent Months

• Specific risk for long-term horizons
• Risk attribution for asset managers
• Risk and expectations in the crude oil market in recent months

• Estimating issuer-specific risk for corporate bonds
• Estimation of zero-coupon curves in DataMetrics
• A primer on Vega risk measurement in RiskManager
• Market developments in the first half of 2002

• Mark-to-market, oversight, and sensitivity analysis of CDOs
• Importance sampling for credit portfolio simulation
• Economic capital allocation for credit risk
• Financial markets in the aftermath of the terrorist attacks

• The one-factor CreditMetrics^® Model in the new Basel capital accord
• Term structure estimation for U.S. corporate bond yields
• Risk budgeting for corporate bond portfolios
• Comparing methods to approximate mortgage-backed security VaR

• Two articles in users' corner
• Calculating VaR through quadratic approximations
• Hypothesis test of default correlation and application to specific risk
• A comparison of stochastic default rate models

• Two articles in users' corner
• Toward a better estimation of wrong-way credit exposure
• Do implied volatilities provide early warning for market stress?
• A stress test to incorporate correlation breakdown

• Three articles in CreditManager^® users' corner
• Conditional approaches for CreditMetrics portfolio distributions
• The valuation of basket credit derivatives
• An analytic approach for credit risk analysis under correlated defaults

• Extended "Constant Correlations" in CreditManager 2.0
• Treating collateral and guarantees in CreditManager 2.0
• Credit derivatives in CreditMetrics
• Commercial paper defaults and rating transitions, 1972 - 1998
• A one-parameter representation of credit risk and transition matrices

• Managing credit risk with CreditMetrics and credit derivatives
• The effect of systematic credit risk on loan portfolio value-at-risk and loan pricing
• Syndicated bank loan recovery
• Uses and abuses of bond default rates
• Errata to the first edition of CreditMetrics Technical Document

• How the formation of the EMU will affect RiskMetrics
• Overview of EMU, resulting changes in the RiskMetrics methodology, and a tool to conduct stress testing on EMU-related scenarios

• A methodology to stress correlations
• What risk managers should know about mean reversion and jumps in prices

• An investigation into term structure estimation methods for RiskMetrics
• When is a portfolio of options normally distributed?

• A detailed analysis of a simple credit exposure calculator
• A general approach to calculating VaR without volatilities and correlations

• On measuring credit exposure
• The effect of EMU on risk management
• Streamlining the market risk measurement process

• Testing RiskMetrics volatility forecasts on emerging markets data
• When is non-normality a problem? The case of 15 time series from emerging markets

• Accounting for "Pull to Par" and "Roll Down" for RiskMetrics cashflows
• How accurate is the Delta-Gamma Methodology?
• VaR for basket currencies

• An improved methodology for measuring VaR that allows for a more realistic model of financial return tail distributions
• A value-at-risk analysis of currency exposures underscoring the limitations of standard VaR when underlying market return distributions deviate significantly from normality
• Estimating index tracking error for equity portfolios

• A Look at two methodologies which use a basic delta-gamma parametric VaR precept but achieve similar results to simulation
• Basel committee revises market risk supplement to 1988 capital accord

• Exploring alternative volatility forecasting methods for the standard RiskMetrics monthly horizon
• How accurate are the risk estimates in portfolios which contain treasury bills proxied by LIBOR data?
• A solution to the standard cash flow mapping algorithm which sometimes leads to imaginary roots

• Mapping and estimating VaR in interest rate swaps
• Adjusting correlation from nonsynchronous data

Download Adobe Acrobat to read the above PDF files.