Duration models and IRR management: a question of dimensions?

Article Abstract:

Duration models deal with a wide variety of different approaches for measuring and managing interest rate risks in fixed income portfolios. It is ascertained in an empirical manner, whether there are significant differences between the models that are usually employed by risk managers to control interest rate risk (IRR).

Strategy & planning, Spain, Planning, Company business planning

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Trading activity and price reversals in futures markets

Article Abstract:

Short-horizon return predictability in 24 U.S. futures markets is examined with the use of standard contrarian portfolio approach. Futures return predictability is found to be more pronounced if interacting between past returns and lagged changes in both volume and open interest.

United States, Forecasts, trends, outlooks, Forecasts and trends, Futures market, Futures markets, Market trend/market analysis

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Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements

Article Abstract:

A method of estimating sensitivity of a portfolio allocation to the risks by using VaR and the Expected Shortfall methods is presented. The method facilitates the estimation of the impact of netting and collateral agreements in credit risk management.

France, Switzerland, Venture Analysis, Methods, Risk assessment, Investments

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