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An Introduction to Value at Risk
Asynchronous Data and Serial Correlation in Financial Time Series
Historical VaR: A Practitioners Guide
Risk-Based Performance Attribution
Stress Tests and Correlation
Risk Reduction Potential
VaR Exceedances at Large Financial Institutions (also available at GARP Risk Intelligence)
Volatility Surface Stress Tests
Additive Profit Calculation
How Hedge Funds Manage Risk
Constant Risk Portfolios
Next Generation Factor Models
A Win-Win-Win Solution to the Problem that Everybody is Talking About
Risk Management Myths
The Problem with Hedge Fund Returns
What Institutional Investors Want…but Aren’t Always Getting
The Big Short Redux
The Six-Standard Deviation Move that Wasn’t
The Longest Expansion Ever. So What?
Predicting the Future
How Will LIBOR End?
The Year So Far in Factor Returns
UK Dead Cat Bounce
Look up risk management and performance terms in the Northstar Risk Glossary.
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