The global financial market has become extremely interconnected as it demonstrates strong
nonlinear contagion in times of crisis. As a result, it is necessary to measure financial …

The regulatory market risk metric-Value at Risk-has remained virtually unchanged since its
introduction by JP Morgan in 1996. Many prominent examples of market risk …

Statistical arbitrage is a class of trading strategies based on constructing mean-reverting
spreads with a certain degree of predictability. The effectiveness of these strategies (such as …

Because of the active management and dynamic trading strategy, the hedge funds reflect
more complicated risk exposures than other traditional investments. In order to address this …

Question of the day: how to manage a large (or small) portfolio in low interest rate
conditions, while equity markets bear significant draw-down risk? More generally, how to …

Abstract We present Polymodel Theory, defining a polymodel as a collection of non-linear
univariate models. A mathematical formulation as well as an epistemological foundation is …

Financial crises is an important research topic because of their impact on the economy, the
businesses and the populations. However, prior research tend to show systemic risk …

The weaknesses of current Value-at-Risk (VaR) measure led the Basel Committee to revise
the Basel II market risk framework. A stressed VaR measure is introduced to incorporate the …

Based on the 1/N multi-asset “ideal portfolio” developed in the so-called diversification book
by Söhnholz/Rieken/Kaiser in 2010, a simple to implement ETF portfolio is developed. The …