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White Papers & Articles
Algorithmics' white papers address important issues facing the risk management industry. Created by our thought leaders, these documents provide valuable insights to help you manage risk and develop new business opportunities.
Active Capital Management
Optimizing Returns in a Multiple Stakeholder Context.
Dr. Michael Zerbs
Actively Managing Tracking Error
This paper develops several simple diagnostic tools to help fund managers evaluate alternative trading strategies in terms of their potential for reducing tracking error.
Curt Burmeister, Helmut Mausser and Rafael Mendoza
Algo Capital for Basel II
Every financial institution has its own perspective on meeting Basel ll requirements. Algo Capital offers the ability to help clients meet immediate Basel ll deadlines while providing a foundation for a full enterprise solution to regulatory compliance.
Algo Capital: Expected Positive Exposure
Recent enhancements to Algo Capital address both the business challenges and calculation considerations associated with Expected Positive Exposure, freeing banks to create a 'compute first, then do business' risk management system.
Cleaning a Passive Index
How portfolio optimization can be used to locate statistical portfolio substitutes for investments and companies that fail a corporate social responsibility (CSR) screen.
Moshe Milevsky, Andrew Aziz, Al Goss, Jane Thomson and David Wheeler
Cost-Effective, On-Time Risk Management
Algorithmics and Intel discuss how Algo Suite running on Intel® Xeon™ servers using Linux, delivers superior performance and lower cost compared to Unix.
Cyclicality of Operational Risk: The Tracking Phenomenon
Penny Cagan and Yakov Lantsman
From Compliance to Value Creation: The Evolution of Enterprise Risk Management
Ask a group of risk and finance executives to define enterprise risk management (ERM) and you will hear a number of overlapping answers.
Mario Onorato
Integrating Assets and Liabilities
Considering alternative ways to align and integrate approaches to modelling assets and liabilities in the insurance industry. *Reproduced with permission. The Actuary, September 2007
Curt Burmeister and Martin Sher
Featured Case Study
Value-Based Management
South African bank Nedbank implements a comprehensive market and credit risk management infrastructure.
Featured Research
The Disclosure Debate
Could new hedge fund filing regulations have prevented the Bayou Fund fraud?