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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.
Outside the Comfort Zone
Industry leaders discuss the importance of forward-looking risk frameworks, and their relationship to FX e-commerce.
Dr. Andrew Aziz, Justyn Trenner, Steve White - e-FOREX JULY 2008
*Reproduced with permission
Integrating Assets and Liabilities
Considering alternative ways to align and integrate approaches to modelling assets and liabilities in the insurance industry.
Curt Burmeister and Martin Sher
The Actuary. *Reproduced with permission.
Linking Transaction-Level Risk to High-Level Strategy
When organizations first started using risk tools it was to do batch calculations of their exposures overnight. Then people started dreaming about using the technology to measure risk before each and every transaction.
Dr. Andrew Aziz
Liquidity Risk Management Assessing and Planning for Adverse Events
Fabio Battaglia, Dr. Mario Onorato and Steve Good
Liquidity Risk: Comparing Regulations Across Jurisdictions and the Role of Central Banks
Fabio Battaglia and Dr. Mario Onorato
Loss in Translation
Ben De Prisco, Ian Iscoe and Alex Kreinin of Algorithmics introduce a new analytical approach for valuing synthetic collateralised debt obligations.
Operational Risk Red Flags: Lessons Learned from Ten Hedge Fund Blow-ups
This paper examines the lessons learned and ten specific 'red flags' that can be extracted from a case study analysis of recent hedge fund blow-ups, with emphasis on the Amaranth Advisors loss event.
Penny Cagan
Proactive Risk Management: Integrating Risk and Finance
Algorithmics and IBM discuss how banks are looking to integrate risk management into finance to optimize resources, reduce costs and enhance profitability.
Pierre Pourquery and Dan Rosen
Replicating Portfolios in Algo Risk
This paper provides a high-level overview of the replicating portfolio construction process available within Algo Risk.
Curt Burmeister and Richard Black
Risk in Capital Markets and Trading
The typical first step to measuring risk is classification: is it market risk or credit risk? Using integrated risk measures can dissolve the boundaries between risk types, and provide a more accurate picture of exposures.
Diane Reynolds
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?