Inversionomics One for the nerds today… A long long time ago, in economies far far away from where they are today, yield curves moved, a lot. The short end rose and fell, the long end rose and fell, and not so often at the same time and in the same direction. This led to a considerable […] November 3, 2021, by administrator
Synchronicity No, not the middling to good, with a few very good tracks from The Police in ’83. What I would like to discuss is the impact of timing on the analysis of time series data. And by timing I am not talking about when the data is actually put to use, but rather when it […] September 27, 2021, by administrator
Risk Management for Risk Managers, part 2 Long story short, you, as a risk manager are short an option to the institution that has hired you. As circumstances dictate, it will exercise that option by way of an unceremonial, and worse, uncompensated exit of your good self from said institution. Your job is to manage that risk. Ironically, the hint is in […] September 14, 2021, by administrator
Risk Management for Risk Managers No, this is not another addition to the countless, a few of them actually useful, books / articles etc on financial risk management. This is about a topic that should be close to every risk manager’s heart but so rarely is the case. I am referring to the risk management of the career options, consider […] July 8, 2021, by administrator
ESG Risk Management “If you gaze into the abyss, the abyss gazes back into you” It is always fun to have something apocalyptic with which to start an article on ESG. The area, from a financial data perspective, is so new and so multi-dimensional, and so largely informed by opinion rather than actual facts that is quite possible […] June 16, 2021, by administrator
Archegos Archegos. Whodathunk? Indulge me. Many moons ago I was a sterling swaps trader at Salomon Brothers. I was in the seat at the time of the Long Term Capital Management (LTCM) collapse in 1998. It was interesting. However, the most relevant point to the current topic is that we were the main counterparty to LTCM […] June 8, 2021, by administrator
Nonage Immanuel Kant (1724 – 1804), the enlightenment philosopher, defined the word ‘nonage’ as such: Nonage is the inability to use one’s own understanding without guidance. Kant was not a risk manager but his concern highlights an issue that is very germane to modern risk management. Like many risk managers, I have an ambiguous attitude towards, […] May 28, 2021, by administrator
Risk Reporting – Here be Dragons As an ex-physicist, I will always hold true to the, very subjective, opinion, that much of financial theory is just a case of physics wannabees. The fact that two psychologists, Kahnemnn and Tversky won (well at least one of them) a deservedly Nobel prize in economics, merely confirms my prejudice. That being said, this note […] May 24, 2021, by administrator
ESG – Data Management “Toto, we are not in Kansas anymore” As Dorothy stepped out of her ruined house in Oz, she realised that she had gone from a dull, grey, black and white Kansas to a technicolour Oz. I am not sure how many people in the funds management arena realise it, but we are fast approaching a […] May 17, 2021, by administrator