Risk Mismanagement during the Financial Crisis
26 views | +0 today
Follow
Your new post is loading...
Your new post is loading...
Scooped by Raquel Delgado Galicia
Scoop.it!

Var calculation a ‘time bomb’ - FT.com

Var calculation a ‘time bomb’ - FT.com | Risk Mismanagement during the Financial Crisis | Scoop.it
The widespread use of the “value at risk” (Var) methodology to measure mutual funds’ exposure to risk is a “time bomb” that could cause a severe market crash, according to the investment director of a European asset management house.
Raquel Delgado Galicia's insight:

The VaR calculation can exarcebate the effects during a financial crash. Therefore, it is important to keep its use under control and monitor its calculation to ensure its effectiveness.

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

Black Swans defeat standarized approaches to risk management

Raquel Delgado Galicia's insight:

Risk cannot be measured only by quantitative measures. New qualitative approaches should be taken into account and make sure that they two approaches are accurate, consistent and reliant.

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

RISK Mismanagement - What Led to the Financial Meltdown

RISK Mismanagement - What Led to the Financial Meltdown | Risk Mismanagement during the Financial Crisis | Scoop.it
Were the measures used to evaluate Wall Street trades flawed? Or was the mistake ignoring them?
Raquel Delgado Galicia's insight:

Why keep using past data to analyze the future? This is a good question during the financial crisis, which could help academics and professionals to develop new risk management models.

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

Fat-tail fears catch oil traders between $50 and $150 bets | FT Alphaville

Investors and traders are buying large numbers of oil contracts that would profit from a price super-spike – and a collapse, the FT reports.
Raquel Delgado Galicia's insight:

Investors and traders are hedging the risk of extreme events using derivatives. Are they becoming concious of the high risk of these fat tails? Extreme events can lead to enormous gains but also to great losses.

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

Nassim Taleb Criticizes Forecasters and Value at Risk - YouTube

Nassim Taleb is saying what no one wants to hear: Forecasters, Risk Managers, Policy Makers, and Government Officials have all failed us and will fail us aga...
Raquel Delgado Galicia's insight:

As Nassim Taleb says, we don't know most of the things that are around and affect businesses. Financial economists building risk management model about things are extremely uncertain and further effort needs to be done and change the basic scenary on which we base our analysis. He opposes completely to the idea to VaR, however, in my opinion, VaR could be extremely useful (and has proved to be udner certain circunstances) if properly managed and modelled.

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

JPMorgan loss stokes risk model fears - FT.com

JPMorgan loss stokes risk model fears - FT.com | Risk Mismanagement during the Financial Crisis | Scoop.it
It is one more failing in a history of shortcomings for the model. Last week JPMorgan unveiled a major defect in one of its key risk management tools.
Raquel Delgado Galicia's insight:

VaR models are losing reliability within the financial sector. What would be next?

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

Fat-tail attraction

Fat-tail attraction | Risk Mismanagement during the Financial Crisis | Scoop.it
Is it a bird, an extreme event or a cliché? “TAIL-RISK” hedging was the talk of Wall Street in 2008 after global markets nosedived and traumatised investors...
Raquel Delgado Galicia's insight:

The fear of investors to fat-tail events (extreme events) is generating a new business in the financial systems. New products appear as insurance to those extreme events that could lead to enormous losses. Again, could the crisis lead to new opportunities?

more...
No comment yet.
Scooped by Raquel Delgado Galicia
Scoop.it!

How To Protect Investments From Cataclysmic 'Fat Tails'

How To Protect  Investments From Cataclysmic 'Fat Tails' | Risk Mismanagement during the Financial Crisis | Scoop.it
Rare, shocking events can be an investor's friend.
Raquel Delgado Galicia's insight:

"We truly live in a non-normal world of fat tails. That raises the obvious question: What is causing the fat tails? Could we ourselves be behind them?"

more...
No comment yet.