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Risk Management

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Displaying 451 - 465 of 474
Hedge vs. Mutual Funds and the 'Timing of Information Acquisition'
A recent paper by Nathan Swen, of the McCombs School of Business, University of Texas, compares the “timing…
State of the Industry, Risk Management, Asset Allocation
A Merchant/Academic’s Thoughts about Customizing Risk Models
When does it make sense for an asset manager to customize its risk model? And why? There are, after all, a…
Risk Management
Burr XII, Extreme Value, and a Fantasy
“They used a Burr XII extreme value distribution?” “Yeah, that’s what I’ve heard.” “What the heck is that?” “…
State of the Industry, Risk Management, Asset Allocation
Custodians Helping Customers with Securities as Collateral
Sometimes the early material in a report is so boring that even us dedicated expositors can do nothing better…
Risk Management, Infrastructure
Vindicating Austrians: The New ESMA Warning on Risks
The European Securities and Markets Authority recently warned that valuation risks are on the rise on key…
Risk Management
Betting on Vice Doesn’t Really Pan Out
One venerable theory among alpha seekers is that one should bet on “vice,” that is, one ought to invest in…
Risk Management, Hedge Funds, ESG, Asset Allocation
The Delusions a Boom Can Bring and the Perils of Chasing Hedge Fund Winners
It is an old and one-would-hope familiar lesson, but not for that reason an unnecessary one. We don’t take…
State of the Industry, Risk Management, Hedge Funds, Asset Allocation
How Not to Nationalize the Clearinghouses
Everybody loves the idea of the central clearing of derivatives. It’s like motherhood, transparency, and…
Risk Management, Hedge Funds
What is Right & What is Wrong With the Sharpe Ratio?
William Sharpe’s 1975 article, “Adjusting for Risk in Portfolio Performance Measurement,” applied Harry…
Risk Management
Eurex Clearing and DB Group: New Paper on CCPs
The Deutsche Börse Group and Eurex Clearing have together issued a white paper on “How central counter-…
Risk Management, Hedge Funds, Access to Alternatives
A Challenge to Bayesian Probability
A surprising dust-up in the blogosphere in recent days concerns Thomas Bayes, and the distinctive branch of…
Risk Management, Manager Selection
Winner Takes All, and Liquidity Takers Win
A new report stresses the extent to which the world of high-frequency trading is winner-take-all. Three…
State of the Industry, Risk Management, Hedge Funds
Questions in Risk: The Different Faces of Private Equity Investing
By Donna Marie Howe, CFA Last week when we met, one of my friends (Jim Purnell, CRO at Kenmar Group) and I…
Risk Management, Private Equity
GMI Numbers-Crunching Predicts Stock Returns
Nobody ever said winning alpha was going to be easy. Among the people who don’t say that, count the author of…
Risk Management, Manager Selection, Hedge Funds
Remembering Enron and Contending with Warren Buffett
Last year legendary investor Warren Buffett, with help from a law professor, Lawrence Cunningham, brought out…
Risk Management, Hedge Funds, Asset Allocation