All risk management articles – Page 9
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Risk Parity: Risk parity, risk management and the real world
AQR’s Adam Berger, Michael Mendelson and Daniel Villalon discuss risk, and the practical challenges of managing it successfully
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Risk Parity: Taking the long view
In the wake of the latest market crash, the name alone garnered a lot of attention for risk parity from US investors. But as investors calm down, reassured by rising equity markets, Stephanie Schwartz asks if it has staying power
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Longevity: Lives of the SAINTs
At four million, the small population of Denmark is not a reliable dataset for longevity projections. Rachel Fixsen finds out how ATP went global for a better model
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Longevity: Live long… and prosper?
Individual circumstances can make a decade of difference to how long we live after retirement. As Sarah Harper, Kenneth Howse and Steven Baxter observe, this makes simply raising the retirement age inequitable
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Risk 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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Risk 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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Risk 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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Risk 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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Risk Management: Extreme risks
Tim Hodgson takes a qualitative approach to ranking extreme risks and assessing their interconnectedness
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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