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...
by admin | Nov 30, 2009 | risk
In a recent comment (see “Waltzing through the blogospher,” November 28, 2009) Steve Campisi wrote about the need to measure liquidity risk, citing the difficulties that the Yale Endowment fund had. It just so happens that this month’s Institutional...
by admin | Nov 28, 2009 | attribution, GIPS, Returns, risk
I guess it’s not surprising that as a blogger, I occasionally wonder around looking at other blogs … I regularly visit about a dozen and am always looking for new ones to add to my list. Today I’ve visited several new sites and have picked up a few...
by admin | Nov 16, 2009 | risk, value at risk
At last week’s Performance Measurement Forum meeting in Rome I mentioned how during this most recent economic crisis the Value at Risk metric has demonstrated how little value it provides: what firm’s use of this measure provided them with any degree of...
by admin | Nov 3, 2009 | attribution, GIPS, Returns, risk
Through this blog I recently received a question that wasn’t related to a specific post. I opted not to respond because (a) I didn’t know who it was from (it was sent anonymously) and (b) it didn’t fit what it was tied to. I will be happy to respond...
