by admin | Sep 25, 2009 | GIPS, risk, Sharpe ratio, Standard Deviation
Okay, so the decision has been made: effective January 2011, GIPS compliant firms must report a 36-month annualized standard deviation, on an annual basis (that is, for all years starting with 2011). Further clarity is in order. First, is standard deviation risk?...
by admin | Sep 23, 2009 | risk
“When will they ever learn, when will they ever learn.” Okay, so words from an anti-war song perhaps aren’t the most fitting, but what the heck is going on? Moody’s is being accused of continuing to inflate ratings, this time by a former...
by admin | Sep 18, 2009 | risk, value at risk
President Obama spoke this week regarding the improving mood on Wall Street and offered that “Those on Wall Street cannot resume taking risks without regard for consequences, and expect that next time, American taxpayers will be there to break their fall.” I’m...
by admin | Sep 4, 2009 | risk
You might begin by asking “who said risk is hard?” Well, for starters, I did! And why would I say such a horrid thing? Let’s begin with a simple question: what is risk? That is, how would YOU define risk? The answers tend to vary, but include...
by admin | Jul 30, 2009 | risk
In 2004 Alan Greenspan offered the following: “When confronted with uncertainty, especially Knightian uncertainty, human beings invariably attempt to disengage from medium to long-term commitments in favor of safety and liquidity.” I stumbled upon this...
by admin | Jul 28, 2009 | risk, value at risk
This past week I spent a day dealing with the single topic of Value at Risk (VaR). This was in a class I’m taking in my doctoral program. Our professor, Aron Gottesman, did a fantastic job showing how VaR isn’t nearly has challenging as one might think. As...
