by admin | Feb 6, 2010 | value at risk
“Mexican Deputy Finance Minister Alejandro Werner said the government will announce in coming weeks a change in risk-management regulations for pension funds to help ease the effect of market volatility on investments. “‘Current value-at-risk...
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 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 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 | 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 16, 2009 | value at risk
I very much enjoyed Nassim Taleb’s The Black Swan, and so it’s probably no surprise that I’m also enjoying Pablo Triana’ Lecturing Birds on Flying: Can Mathematical Theories Destroy the Financial Markets? Taleb even provides the foreword to...
