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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
Dynamic Asset
Allocation with Event Risk Francis A. Longstaff, The Anderson School, UCLA Jun Pan, MIT Sloan School of Management August 2001
Economic
Capital
Allocation Derived from Risk Measures
On the Risk Capital Framework of Financial Institutions 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
Risk Management in the Danmarks Nationalbank
Value at Risk
An Analysis of VaR-based Capital Requirements
An Overview of
Value at Risk
Dynamic Value at Risk
Efficient Monte Carlo Methods for Value-at-Risk
Exploring the Limitations of Value at Risk: How Good Is It in
Practice?
Value-At-Risk and Expected Shortfall for Linear Portfolios with
Elliptically Distributed Risk Factors
Risk Measurement and Modeling
A Comparative Analysis of Current Credit Risk Models
Advanced Techniques for Modeling Terrorism Risk
Aggregation of
Correlated Risk Portfolios: Models & Algorithms
An Equilibrium
Model of Rare-Event Premia and Its
Implication for Option Smirks
Applying COPULA
Function to Risk MANAGEMENT
Coherent
Measures of Risk
The
Quantification of Operational Risk
Risk
Based
Capital Allocation
Risk Capital
Aggregation: the Risk Manager’s Perspective
Incorporating
Stress Tests into Market Risk Modeling
Capital
Allocation, Portfolio Enhancement and Performance
Measurement: A Unified
Approach
Correlation:
Pitfalls and Alternatives
Miscellaneous Articles on Quantative Analysis
An Analysis Framework for Bank Capital Allocation
Default and
Recovery Implicit in the Term Structure
of Sovereign CDS Spreads Kenneth J. Singleton October 30, 2005 Jun Liu, The Anderson School, UCLA Jun Pan, MIT Sloan School of Management February 13, 2003
Enhancing Reporting Practices in Asset Management
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
Pension Related Articles
Pension Reform Primer
Private Equity
Beyond the J Curve: Managing a Portfolio of Venture Capital
and Private Equity Funds
Private Equity Funds: Business Structure and Operations
Private Funds Seminar
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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