<![CDATA[Hedgehogs.net: '' related content]]> http://www.hedgehogs.net/tag/risk+management?view=rss http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11504456/published-preprint-hedging-of-defaultable-claims-in-a-structural-model-using-a-locally-riskminimizing-approach-arxiv150503501v1-qfinmf Sat, 16 May 2015 14:31:12 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11504456/published-preprint-hedging-of-defaultable-claims-in-a-structural-model-using-a-locally-riskminimizing-approach-arxiv150503501v1-qfinmf <![CDATA[Published / Preprint: Hedging of defaultable claims in a structural model using a locally risk-minimizing approach. (arXiv:1505.03501v1 [q-fin.MF])]]>

In the context of a locally risk-minimizing approach, the problem of hedging defaultable claims and their Follmer-Schweizer decompositions are discussed in a structural model. This is done when the underlying process is a finite variation Levy process and the claims pay a predetermined payout at maturity, contingent on no prior default. More precisely, in this particular framework, the locally risk-minimizing approach is carried out when the underlying process has jumps, the derivative is linked to a default event, and the probability measure is not necessarily risk-neutral.

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http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11504440/published-preprint-wrongway-bounds-in-counterparty-credit-risk-management-arxiv150502292v1-qfinrm Sat, 16 May 2015 14:30:56 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11504440/published-preprint-wrongway-bounds-in-counterparty-credit-risk-management-arxiv150502292v1-qfinrm <![CDATA[Published / Preprint: Wrong-Way Bounds in Counterparty Credit Risk Management. (arXiv:1505.02292v1 [q-fin.RM])]]>

We study the problem of ?finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when the risk measure is CVaR, and the distributions are discretized, the problem can be conveniently solved using linear programming technique. The method has applications to any situation where marginals are provided, and bounds need to be determined on total portfolio risk. This arises in many financial contexts, including pricing and risk management of exotic options, analysis of structured ?finance instruments, and aggregation of portfolio risk across risk types. Applications to counterparty credit risk are emphasized, and they include assessing wrong-way risk in the credit valuation adjustment, and counterparty credit risk measurement. Lastly a detailed application of the algorithm for counterparty risk measurement to a real portfolio case is also presented in this paper.

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http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503882/british-land-co-plc-final-results-part-2 Sat, 16 May 2015 12:40:55 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503882/british-land-co-plc-final-results-part-2 <![CDATA[British Land Co PLC - Final Results - Part 2]]> 11503882 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503186/via-simplyhired-compliance-officerrisk-manager-at-mitchellmartin-new-york-ny Sat, 16 May 2015 11:01:33 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503186/via-simplyhired-compliance-officerrisk-manager-at-mitchellmartin-new-york-ny <![CDATA[Via SimplyHired: Compliance Officer/Risk Manager at Mitchell/martin (New York, NY)]]> risk repositories (Vendors, incidents extensive, and ... related projects, Buy-side compliance, Large scale project management, process improvements, or technology...]]> 11503186 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503185/via-simplyhired-associate-directorrisk-management-operations-sp-ratings-at-mcgraw-hill-financial-new-york-ny Sat, 16 May 2015 11:01:32 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503185/via-simplyhired-associate-directorrisk-management-operations-sp-ratings-at-mcgraw-hill-financial-new-york-ny <![CDATA[Via SimplyHired: Associate Director-Risk Management Operations (S&P Ratings) at Mcgraw Hill Financial (New York, NY)]]> Risk Management Operations function. Responsibilities: ... management assistance in support of global compliance, risk operations and regulatory filings and reporting...]]> 11503185 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503184/via-simplyhired-risk-management-technician-at-broward-health-fort-lauderdale-fl Sat, 16 May 2015 11:01:31 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503184/via-simplyhired-risk-management-technician-at-broward-health-fort-lauderdale-fl <![CDATA[Via SimplyHired: RISK MANAGEMENT TECHNICIAN at Broward Health (Fort Lauderdale, FL)]]> risk management and patient safety systems. Enters claims & financial data for various claim types to retrieve for reporting purposes. Supports the District and Regions database (STARS)...]]> 11503184 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503183/via-simplyhired-operational-risk-manager-global-transaction-services-at-bank-of-america-new-york-city-ny Sat, 16 May 2015 11:01:31 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503183/via-simplyhired-operational-risk-manager-global-transaction-services-at-bank-of-america-new-york-city-ny <![CDATA[Via SimplyHired: Operational Risk Manager - Global Transaction Services at Bank of America (New York City, NY)]]> Risk Assessments. Challenge and advise on LOB/ECF/Region Op Risk KRI's. Challenge LOB/ECF/Region Risk and Controls Self ... of experience in a Risk discipline (preferably Operational Risk, Compliance, Audit Management), and/or line of business...]]> 11503183 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503182/via-simplyhired-risk-analystrisk-manager-at-project-time-cost-los-alamos-nm Sat, 16 May 2015 11:01:29 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503182/via-simplyhired-risk-analystrisk-manager-at-project-time-cost-los-alamos-nm <![CDATA[Via SimplyHired: Risk Analyst/Risk Manager at Project Time & Cost (Los Alamos, NM)]]> management of risk. * Conducting risk workshops and risk assessments. * Identifying, ... and monitoring the progress of management actions by each risk owner * Generating the monthly reports of risk meetings...]]> 11503182 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503178/via-simplyhired-lead-risk-analyst-avp-enterprise-risk-management-130000-190-at-cameron-craig-group-philadelphia-pa Sat, 16 May 2015 11:01:26 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503178/via-simplyhired-lead-risk-analyst-avp-enterprise-risk-management-130000-190-at-cameron-craig-group-philadelphia-pa <![CDATA[Via SimplyHired: Lead Risk Analyst (AVP), Enterprise Risk Management - $130,000 - $190 at Cameron Craig Group (Philadelphia, PA)]]> risk perspective. C lient seeks a Lead Risk Analyst (AVP Level), Enterprise Risk Management. ... purpose of the Lead Risk Analyst (AVP), Enterprise Risk Management role is to lead the execution of risk mitigation...]]> 11503178 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503179/via-simplyhired-claims-risk-manager-at-criterion-executive-search-bartow-fl Sat, 16 May 2015 11:01:26 +0100 http://www.hedgehogs.net/pg/newsfeeds/hhwebadmin/item/11503179/via-simplyhired-claims-risk-manager-at-criterion-executive-search-bartow-fl <![CDATA[Via SimplyHired: Claims Risk Manager at Criterion Executive Search (Bartow, FL)]]> risk management to effectively control losses and...]]> 11503179