StatPro Whitepapers
StatPro executives and
staff are highly dedicated professionals with a wealth of knowledge
behind them.
Below is a selection of articles designed to provide an further
knowledge of the industry we work in.
The traditional problem of Liquidity Risk is that the data needed for calibrating these models is only available for liquid instruments, trading on a regular basis and for which books of bid/ask and volumes are available.
Carl Bacon on risk adjusted performance measures.
Any discussion on risk-adjusted performance measures must start with the grandfather of all risk measures the Sharpe Ratio or Reward to Variability which divides the excess return of...
This article does not seek to discuss how most of the criticism is often ill-placed, that VaR is not the only risk measure available in risk management, that VaR can be produced with models other than Gaussian Variance/Covariance, and so forth.
In one sense there ought not to be too much discussion about the relative merits of money-weighted or time-weighted attribution, the attribution methodology must be consistent with the methodology used to calculate the total return of the portfolio.
The Global Investment Performance Standards (GIPS) are a set of ethical principles used by investment management firms in order to establish a globally standardised.
In line with its tradition of transparency, StatPro has taken the decision to publish the risk methodology used in the StatPro Risk Management product (SRM).
