by admin | Oct 19, 2013 | CIPM, CIPM Exam Tips & Tricks, CIPM expert, kurtosis, MPT, Omega ratio, performance measurement, post MPT, risk measurement, Sharpe ratio, skewness, Standard Deviation, value at risk
Last night, my hometown team, the Los Angeles Dodgers, was defeated by the St. Louis Cardinals in the National League Championship series. The Cardinals will go on to the World Series for a chance at what could be their 20th world championship… while the...
by admin | Nov 1, 2010 | value at risk
I am very pleased to announce that the NYSSA has published a brief article of mine on the Pitfalls of Value at Risk. I had written an earlier background piece on VaR for their journal, so this can be viewed as a follow-up piece. Hope you have the chance to review it,...
by admin | Jul 6, 2010 | risk, value at risk
I typically tell the students who attend our Fundamentals of Performance Measurement course that risk is the most challenging aspect of our industry. We can’t agree on what it means or how to measure it. And while many today see risk as either being the...
by admin | Feb 25, 2010 | value at risk
What’s the old saying? There are lies, damn lies, and statistics. “Value at Risk works” is arguably, from a statistical point of view, an accurate statement. But as with many statistics, we need to understand what’s truly at work. If you are...
by admin | Feb 23, 2010 | GIPS, Global Investment Performance Standards, value at risk
We had to reschedule yesterday’s webinar on VaR (Value at Risk): the new date is Wednesday, March 10, at 11:00 EST. We will hold a second webinar in March to discuss the planned changes to the Global Investment Performance Standards (GIPS(R)) (GIPS 2010). It...
by admin | Feb 16, 2010 | value at risk
Value at Risk (VaR) continues to be addressed though it appears that in spite of its shortcomings, it isn’t going away. Therefore, we would recommend that you include an appropriate disclosure whenever you report it, so that the recipient is better informed....
