At GRAVITAS, we encourage informed intellectual debate in the search for innovative solutions for our clients. We truly enjoy the process of analyzing complex situations and delivering intelligent solutions.

Below are some of the documents and articles that inform the debate.

General Risk Management

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk
Joshua V. Rosenberg
Til Schuermann
Federal Reserve Bank of New York Staff Reports, no. 185
May 2004
JEL classification: G10, G20, G28, C16

Dynamic Asset Allocation with Event Risk
Jun Lin, The Anderson School, UCLA
Francis A. Longstaff
, The Anderson School, UCLA
Jun Pan, MIT Sloan School of Management

August 2001

Economic Capital Allocation Derived from Risk Measures
M.J. Goovaerts, University of Amsterdam
R. Kaas, University of Amsterdam
J. Dhaene, University of Amsterdam
June 4, 2002

On the Risk Capital Framework of Financial Institutions
Tatsuya Ishikawa
Yasuhiro Yamai
Akira Ieda
Imes Discussion Paper Series
Discussion Paper No. 2003-E-7

Perspectives on Interest Rate Risk Management for Money Managers and Traders (Frank J. Fabozzi Series)
(Hardcover) by Frank J. Fabozzi
ISBN: 1883249295
published by John Wiley & Sons, 1st edition, 1998

Risk Management for Central Bank Foreign Reserves
European Central Bank
Editors: Carlos Bernadell (ECB), Pierre Cardon (BIS), Joachim Coche (ECB),
Francis X. Diebold (University of Pennsylvania) and Simone Manganelli (ECB)
ISBN 92-9181-497-0 (print)

Risk Management in the Danmarks Nationalbank
IB Hansen Research
January 2003

Value at Risk

An Analysis of VaR-based Capital Requirements
Domenico Cuoco, The Wharton School, University of Pennsylvania
Hong Liu Washington John M. Olin School of Business, University in St. Louis
April 2004

An Overview of Value at Risk
Part A, B, C, D
Darrell Duffie and Jun Pan
Preliminary Draft: January 21, 1997 (four parts)

Dynamic Value at Risk
Audrey Rogachev
November 2002

Efficient Monte Carlo Methods for Value-at-Risk
IBM Research Division, RC 21723 (97823)
Paul Glasserman, Graduate School of Business, Columbia University
Philip Heidelberger, IBM Research Division, T. J. Watson Research Center
Perwez Shahabuddin, IEOR Department, Columbia University
April 4, 2000

Exploring the Limitations of Value at Risk: How Good Is It in Practice?
Andreas Krause
University of Bath School of Management
Winter 2003

Value-At-Risk and Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
Jules Sadefo Kamdem
, Laboratoire de Mathématiques, Université de Reims

Risk Measurement and Modeling

A Comparative Analysis of Current Credit Risk Models
Journal of Banking & Finance 24 (2000)
Michael Crouhy and Robert Mark, Imperial Bank of Commerce
Dan Galai, Hebrew University, Jerusalem, Isreal

Advanced Techniques for Modeling Terrorism Risk
John A. Major
February 2003

Aggregation of Correlated Risk Portfolios: Models & Algorithms
by Shaun S. Wang, Ph.D.,
J. Mack Robinson College of Business
Proceedings of the Casualty Actuarial Society, Vol. LXXXV (1998): 848-939

An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
Jun Liu, Anderson School at UCLA
Jun Pan, MIT Sloan School of Management, CCFR and NBER
Tan Wang, Sauder School of Business at UBC and CCFR

Applying COPULA Function to Risk MANAGEMENT
Claudio Romano,
Banca di Roma

Coherent Measures of Risk
Philippe Artzner, Université Louis Pasteur, Strasbourg
Freddy Delbaen, EidgenÄossische Technische Hochschule, ZÄurich
Jean-Marc Eber, Société Générale, Paris
David Heath, Carnegie Mellon University, Pittsburgh, Pennsylvania
July 22, 1998

Measuring Risk-Adjusted Returns in Alternative Investments
Quantitative Work Alliance for Applied Finance, Education & Wisdom
Hilary Till
Premia Capital Management, LLC
Chicago, IL
June 20, 2002

The Quantification of Operational Risk
Markus Leippold, University of Zurich
Paolo Vanini, University of Southern Switzerland and Zurcher Kantonalbank
November 3, 2003

Risk Based Capital Allocation
Peter Albrecht
SonderForschungsBereich 504
February 2003

Risk Capital Aggregation: the Risk Manager’s Perspective
Francesco Saita
Newfin Research Center and IEMIF,
September 2004

Incorporating Stress Tests into Market Risk Modeling
Jose Ramon Aragones
Carlos Blanco
Kevin Dowd

Capital Allocation, Portfolio Enhancement and Performance Measurement: A Unified Approach
Winfried G. Hallerbach
April 30, 2003

Correlation: Pitfalls and Alternatives
Paul Embrechts
Alexander McNeil
Daniel Straumann
Departement Mathematik, ETH Zentrum
March 1999

Miscellaneous Articles on Quantative Analysis

An Analysis Framework for Bank Capital Allocation
Nicolas Baud
Antoine Frachot
Philippe Igigabel
Pierre Martineu
Thierry Roncali
Groupe de Recherche Opérationnelle, Crédit Lyonnais
February 1, 2000

Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads
Jun Pan
Kenneth J. Singleton
October 30, 2005

Dynamic Derivative Strategies
Jun Liu, The Anderson School, UCLA
Jun Pan, MIT Sloan School of Management
February 13, 2003

Enhancing Reporting Practices in Asset Management
Charlotte Quiniou CFA
Anne Ries
October 2005

Global Portfolio Management (English)
(Proceedings of the AIMR Seminar Exploring the Frontiers of Global Portfolio Management October 29-31, 1995 Frankfurt, Germany)
ISBN: 1879087618

Visual Portfolio Analysis
Uwe Wehrspohn
December 19, 2003

Pension Related Articles

Private Equity

Beyond the J Curve: Managing a Portfolio of Venture Capital and Private Equity Funds
Thomas Meyer, Pierre-Yves Mathonet
ISBN: 0-470-01198-X
September 2005

Private Equity Funds: Business Structure and Operations
by James M. Schell
ISBN: 1-58852-088-9

Private Funds Seminar
Shulte, Roth and Zabel
January 2005

Remittances Research

Dr. Dilip Ratha, Senior Economist at the World Bank, is the preeminent authority on Migration Issues related to Remittances. His research is now available at www.dilipratha.com


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