by admin | Feb 20, 2010 | risk
William McKibbin is running a Linkedin poll asking participants whether or not they think one can measure risk. The response so far suggests that two-thirds feel it is; that’s how I voted. If it’s not measurable, does that mean that it’s not yet, or...
by admin | Jan 12, 2010 | beta, risk
A 1992 Journal of Finance article by Fama & French is often cited as the source for the line, “Beta is dead.” Recall that Beta is a measure of volatility; actually, a security’s volatility vis-a-vis the market. It is used in the Capital Asset...
by admin | Dec 15, 2009 | attribution, GIPS, Global Investment Performance Standards, Returns, risk
One question that occasionally surfaces is how big a performance department should be. There is no simple answer and it’s difficult to decide by simply doing a comparison with other firms. Some key points: all firms are different. Okay, maybe a bit of hyperbole,...
by admin | Dec 14, 2009 | risk, value at risk
I subscribe to a few Google Alerts, so that I’m aware when interesting stories are posted. One is for Value at Risk, and yesterday there was a link to a book by Philippe Jorion with the headline as noted above. “The new benchmark for managing financial...
by admin | Dec 12, 2009 | risk
As I recently mentioned, occasionally I go exploring to look at other blogs. And I came across Steve Hsu’s blog. And although Steve is a physics professor at the University of Oregon, he feels comfortable to opine on the investment industry. (Recall that Jose...
by admin | Dec 8, 2009 | risk, value at risk
The current issue of the NYSSA’s (New York Society of Security Analysts) journal contains an article I wrote on Value at Risk. I invite you to view it. It’s intended as a basic introduction to how one can calculate VaR using the Variance/Covariance (aka...
