Articles
Risk
News
Digital Assets: Appetite Up
New research from Nickel Digital Asset Management (Nickel), an investment manager dedicated to the digital assets market, reveals that 25% of professional investors see the appetite for risk from pension funds and other institutional investors […]
News
Open Platforms: SimCorp Integrates Qontigo Axioma Suite
SimCorp partners with Qontigo for Portfolio Optimization and Risk Management, in Open Platform drive
Wilmott Inner Circle
Analytical Techniques for Synthetic CDOs and Credit Default Risk Measures in Static Factor Models
You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]
Articles
Order Statistics for Value at Risk Estimation and Option Pricing
We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]
Articles
Internal LGD Estimation in Practice
Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the creditworthiness of their […]
Articles
Scenarios IV: Planning for Disasters and then Dealing with them
As I write this it is the fourth anniversary of September 11, 2001. Aside from the anniversary specials airing today, there is little in the news these days about Osama Bin Laden. The news today […]
Wilmott Inner Circle
The Wrong Type Of Language
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Articles
Product Risk Classification
What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]
Wilmott Inner Circle
An Introduction To The Generalized Margin Risk: Wilmott Magazine Article – David Ardia and Simon Keel
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