CMRA Articles

The list below contains articles, books, presentations and speeches by CMRA employees. All are available for Registered Users to view or download in Adobe Acrobat (PDF) format.
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Advances in Risk Management and Risk Governance Conference Proceedings Quarterly
September 2011
Downpayment Insurance Could Stabilize Home Prices The Wall Street Journal
March 2009
Lessons Learned in 30's American Banker
March 2009
Emerging Issues in Credit Default Swaps (CDS) Mealey's Webinar
April 2008
The biggest "CIO" Risk - "Alpha" Risk misManagement (complex, illiquid, opaque) AIMA Journal
February 2008
Risk Management: An Evolution from "Gut" to "Quant" to "Wisdom" AIMA Journal
June 2006
To Register or Not to Register - That is Not the Question AIMA Journal
September 2004
Is "Closed" Really Better?
A New Approach to Risk-Adjusted Asset Allocation For Hedge Fund Investing AIMA Journal
September 2003
Beyond the Basics - Due Diligence HedgeWorld Compendium 2003
Phantom Prices & Liquidity: The Nuisance of Translucence AIMA Guide to Fund of Hedge Funds Management and Investment
What is Risk? Chapter 1 - Hedge Fund Transparency: Unraveling the Complex and Controversial Debate
March 2003
Hedge Fund Diversification AIMA Guide to Fund of Hedge Funds Management and Investment
Safety First ICFA/AIMA Investment Supplement
December 2002
Institutionalization of Hedge Funds Institutional Investor
Fall 2002
Hedge fund transparency: quantifying valuation bias for illiquid assets Risk
June 2002
Performance Measurement & Attribution Investment/Financial Services Review
Feb 2002
Lessons Learned CMRA's Risk Insights
Jan 2002
September 11 CMRA's Risk Insights
Jan 2002
Buy-Side Risk System Comparison Matrix December 2001
How to Select a Buy-Side Risk Management System
Merger Arbitrage Funds
Do They Deliver What They Promise?
Survival After the Blaze AIMA Newsletter
April 2001
Risk Budgeting
A New Approach to Investing
Chapter 1 - The Next Step of the Risk Management Journey
November 2000
Specialization and Diversification Economic Policy Review
Federal Reserve Bank of New York - June 2000
Measuring Financial Risk in the 21st Century Bank Accounting & Finance:
Spring 2000
Reflections on Risk Management Business Economics:
April 2000
French Connection Risk
April 2000
Transparent to Opaque and Everything in Between AIMA Newsletter
Jan./Feb. 2000
Haircuts: Going to the Collateral Barber Derivatives Strategy:
January 2000
Not all alpha is created equal FOW's "Hedge Funds:Risk & Reward" supplement
October 1999
CULTURE CLASH: Why Institutions Don't Allocate To Hedge Funds aima NEWSLETTER
Sept/Oct 1999
Stress Testing for Market Shocks
Integrating Stress Testing with Risk Management Bank Accounting & Finance
Spring 1999
Federal Reserve Board of Governors
(Harvard Graphics Presentation)
12/1/98 presentation to Alan
Greenspan and the
Federal Reserve Board of Governors
Risk Reporting
Vignettes on VaR The Journal of Financial Engineering:
September/December 1998
Stress Testing Derivatives Week:
7/28/98
A Primer on Value at Risk Perspectives on Interest Rate Risk Management for Money Managers and Traders:
copyright 1998
Non-Hedgable risk: Model Risk Perspectives on Interest Rate Risk Management for Money Managers and Traders:
copyright 1998
Credit Derivatives Derivatives Handbook: Risk Management and Control: , Chapter 2
1997
Applying Risk Management Practices and Principles for Dealers and Institutional Investors to Corporate Treasuries NetExposure:
November 1997
Pricing Credit Derivatives Derivatives Week:
Sept. 8, 1997
The Good, The Bad - and the Ugly Credit Risk Supplement:
July 1997
The Good, The Bad - and the Ugly Credit Risk Supplement:
July 1997
Survey on Implementation of the Risk Standards
for Institutional Investors
for Investment Managers
June 1997
Risk Standards for Institutional Investors Risk Standards Working Group
November 1996
Square Root of t Derivatives Week:
10/4/96
Report Card on Value at Risk Bank Accounting & Finance:
Fall 1996
Risk Standards Overview
Delegating in the Dark Alpha, The Positive Side of Risk:
copy. 1996
Derivatives Under Control Corporate Cash Flow:
January 1996
Ten Common Failures in Independent Risk Oversight Financial Derivatives and Risk Management:
December 1995
Guidelines for a Brave New Pension World Derivatives Strategy:
Nov. 1995
Risk Management Programs (AIMR) ICFA Continuing Education:
10/10/95
VaR: Seductive but Dangerous Financial Analysts Journal:
Sept./Oct. 1995
Warning Signs DFM:
July/Aug. 1995
Derivatives: The Reality of Marking to Model Bank Accounting & Finance:
Summer 1995
Structures in the City DFM:
April 1995
Calculating VaR
3 VaR Methodologies
Taylors' Expansion and Cubic Spline
VaR - Measuring Skewness and Kurtosis
VaR - Monte Carlo Simulation
VaR - Variance Covariance Implementation
VaR for Mortgage Backed Securities
What is VaR?
Learning from Fund Losses in Derivatives Treasury & Risk Management:
Nov./Dec. 1994
Lessons from the Derivative Losses of 1994 Futures Industry - Caveat Emptor:
Nov./Dec. 1994
Ten Commandments of Risk Management Treasury and Risk Management:
July/August 1994
Derivatives - A Directors Dream or Nightmare? Directorship:
July/Aug. 1994 Vol. XIX, No.7
Operational Risk