October 23, 2012
Value at Risk and Expected Shortfall are common risk measures. Here is a quick explanation. Ingredients The first two ingredients are each a number: The time horizon -- how [...]
August 6, 2012
Some speculation and a vision of how to make finance safer. What I know Something horrible happened Adequate testing did not occur Either there was no fire alarm for [...]
May 14, 2012
Only puny secrets need protection. Big discoveries are protected by public incredulity. -- Marshall McLuhan Random portfolios have the power to improve the practice of asset management in several [...]
December 13, 2011
Two people, two sources. Planes Deus ex Macchiato has a post called "Planes not bridges" in which it is suggested that learning from air traffic investigators makes sense. The [...]
September 5, 2011
The subtitle is: Adversaries in Art, Science and Philosophy. Executive Summary Genius or madness? I haven't decided. Irreversibility of interpretation The book drives home that once we decide how [...]
August 15, 2011
A response to Danielsson and Macrae. Previously In "The appropriate use of risk models" I presented a synopsis of the Danielsson and Macrae document by the same name, and [...]
July 21, 2011
Jon Danielsson and Robert Macrae on how to think about risk models. Uncertainties in risk models The authors point to several reasons why risk models are uncertain: The model [...]
June 13, 2011
To look in the corners we want to avoid. David Rowe's latest Risk column, "Stress testing culture", concerns the difficulty of developing good stress scenarios. One of his particular [...]
May 9, 2011
How does modern risk management relate to Mayan hieroglyphics? If you want to guess, here are some hints: fire language Connecticut The Mayan civilization prospered in Central America at [...]
March 21, 2011
Markets can be disrupted in numerous ways. We should prepare as best we can. Gloom Here are some things that will happen some day: An epidemic threatens millions or [...]