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Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach 2013
Schachter, Barry
Satchkov, Daniel
Novosyolov, Arcady
Kopeliovich, Yaacov
Traditional risk modeling using Value-at-Risk (VaR) is widely viewed as ill equipped for dealing with tail risks. As a result, scenario-based portfol...
Risk Management in Global Macro Funds 2012
Schachter, Barry
The purpose of this chapter is threefold. First, to provide an overview of some key principles of risk management as they apply to global macro invest...
Stress Testing (PRM Handbook, Vol. III) 2004
Schachter, Barry
By now the need for stress testing of portfolios of financial instruments is taken for granted. We find stress testing on every list of risk manageme...
An Irreverent Guide to Value at Risk 1998
Schachter, Barry
Value at Risk ("VaR") is much on the minds of risk managers and regulators these days, because of the promise it holds for improving risk management. ...
For a Few Dollars More 2012
Schachter, Barry
Smith, Lance
Banks may need more capital if they are to survive the worst eurozone scenarios being envisaged by some institutions....
Value at Risk Meets Volcker Rule 2012
Schachter, Barry
In this note I take a skeptical view of the requirement in the recent rule-making proposal by US financial regulators that banks use VaR for assessing...
Different Approaches to VaR 2012
Schachter, Barry
One lesson to be learnt from the crisis is that good risk management needs a different approach to Value at Risk (VaR), but not in the way you may thi...
Stress Testing 2010
Schachter, Barry
Stress testing and scenario analysis encompass a variety of nonstatistical tools for evaluating the risk of loss, that is, reduction in market value, ...
How I Became A Quant 2007
Lindsey, Richard R.
Schachter, Barry
Firsthand accounts from the people who were swept into, and then helped fashion, today's "quant-driven," dynamic world of financeQuants are the backbo...
Where Independent Risk Management Can Make the Greatest Impact 2005
Schachter, Barry
This presentation addresses the role of the independent risk manager in hedge funds. ...
The Practice of Risk Management 2004
Schachter, Barry
A presentation that provides an overview of the risk management function....
Intelligent Hedge Fund Investing 2004
Schachter, Barry
CONTENTS OF THE VOLUMEForewordTanya Beder, Tribeca Investments LLCIntelligent Hedge Fund Investing: An IntroductionBarry SchachterSECTION 1: CHALLENGE...
More is Less 2004
Schachter, Barry
A blizzard of quantitative risk data will not help investors separate the good hedge funds from the bad. ...
Theory and Practice of Risk Management in Hedge Funds 2003
Schachter, Barry
This presentation provides an overview of the risks in hedge funds and current approaches to risk management and risk measurement. The qualitative na...
The Dilemmas of Risk Disclosure 2003
Schachter, Barry
The path towards a workable structure for hedge fund quantiative risk disclosure is very narrow. ...
How Well Can Stress Testing Complement VaR? 2001
Schachter, Barry
The market events surrounding the 1998 demise of Long Term Capital Management servedto identify some of the pitfalls of using Value at Risk (“VaR”) an...
Stringent Stress Tests 2000
Schachter, Barry
Comment on "Taylor, Black and Scholes" 1996
Schachter, Barry
Estrella argues that Taylor series epresentations of the Black Scholes formula (in which the formula is expanded in one particular argument - e.g., "d...
The 10 Great Challenges of Risk Management 2000
Batlin, Carl
Schachter, Barry
Estimating Value at Risk With a Precision Measure by Combining Kernel Estimation with Historical Sim 1998
Butler, J. S.
Schachter, Barry
In this paper we propose an alternative way to implementthe historical simulation approach to Value-at-Risk (VaR) measurement, employing a non-paramet...
The Value of Stress Testing in Market Risk Management 1998
Schachter, Barry
Move Over, VaR 1998
Schachter, Barry
The Lay Persons Introduction to Value at Risk 1997
Schachter, Barry
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