All risk management articles – Page 10
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Special ReportRisk Parity: Taking risk parity a step further
Wegelin & Co’s Oldrik Verloop and Frank Haeusler show how incorporating active tail-risk management in the portfolio construction process can help prevent painful surprises
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Longevity: Will you still feed me?
Improving longevity is clearly a problem on the liabilities side of the balance sheet. Martin Steward looks at it as an opportunity on the assets side, both to generate return and offset risk
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Longevity: Uncertain life expectancies
In the Netherlands, sharply rising life expectancies have been an issue since 2009. Every pension fund is using its own numbers, and the Dutch Central Bureau of Statistics (CBS) forecasts diverge from the Dutch Actuarial Association’s. André de Vos tries to sort the confusion
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Special ReportRisk Parity: Risk parity and portfolio design
Sanjoy Ghosh of PanAgora Asset Management explains how the risk parity methodology can be used to create a diversified and risk-balanced portfolio, without sacrificing returns
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Longevity: Beyond buyout and buy-in
The time seems right to develop an international secondary market for longevity risk that allows pension funds to deal with the downside of longer lives, writes Mariska van der Westen
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Risk Parity: Nice idea, awkward reality
The tweaking and adjustments managers force upon ‘risk parity’ strategies betray the risks at the heart of the concept, writes Joseph Mariathasan
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Risk Parity: Case study: ATP
Risk parity alone cannot do the trick of maximising risk-adjusted returns and minimising the risk of large drawdowns. Henrik Gade Jepsen describes the additional pillars on which ATP’s investment approach rests
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Risk Parity: Case study: Alaska Permanent
When the Alaska Permanent Fund revamped its asset allocation, two risk parity specialists were among the managers selected for the new strategy. Stephanie Schwartz reports
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Longevity: Age concerns
In Europe, Germany faces the most pressure to deal with an ageing population finds Jonathan Williams
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Special ReportRisk Parity: Achieving targeted returns with an ‘All Weather’ asset allocation
Bob Prince and Paul Ross discuss the approach of Bridgewater Associates, founder of risk parity
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Risk Parity: Risk parity primer
Andrew J Dudley explains how Putnam’s dynamically allocated risk parity approach balances risk contributions
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Special ReportRisk Management: Multi-stakeholder
Bart Oldenkamp and Herman Bril argue that strategic risk management is the most important policy tool for defined benefit pension funds
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Special ReportRisk Management: Extreme risks
Tim Hodgson takes a qualitative approach to ranking extreme risks and assessing their interconnectedness
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Special Report
Risk Management: Crash testing: don’t be a dummy
Instead of chasing after an infinite number of possible events, a risk manager must consider a limited number of impacts when stress or crash testing, argue Arcady Novosyolov and Daniel Satchkov. The challenge is to pay more attention to more plausible impacts without making specific timing predictions
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Prepare for inflation shock
Thomas Thygesen looks at how best to ease into an optimised and diversified exposure to an inflationary scenario
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Sting in the tail
Extreme Value Theory and stress testing, in combination with factor-based risk models, can help investors around the shortcomings of VaR, says Jennifer Bender
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Identify the true risks
Mean-variance optimisation’s static focus at the asset class level should be augmented with a dynamic management of risk factors, argues Crispin Lace
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Special ReportGetting a grip
The financial crisis has uncovered the shortcomings of traditional asset-class and market diversification. Martin Steward asks whether there is a better way
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Maintaining the flow
Last year’s multi-faceted liquidity crunch will change the way funds of hedge funds manage their clients’ money, writes Beverly Chandler
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Diversification isn’t dead…
… it’s just more complex than many of us thought. Haitse Hoos argues that fiduciary management can help solve the challenges of active correlation-risk management
