RSS feedfat tails
’Commodities VaRy extreme right now
Hark — the standard deviation devils sing (again).
As Reuters columnist John Kemp pointed out yesterday, recent swings in the commodities complex have produced some impressive probabilities figures.
Black Swan fatigue
Black·Swan·Fat·igue (n. Abbr. BSF) A form of investment and/or risk management lethargy. Symptoms: General disinclination to hedge against ‘tail risk’ events. An unerring belief that sloshing global liquidity and cooperative policymakers will abet the recovery.
JGBs, US debt and ‘lively debates’
Rarely has so much financial information and analysis diverged so widely across a vast spectrum.
This fact was highlighted this week by Mohamed El-Erian, chief executive of mega bond fund Pimco (and occasional FT Alphaville contributor) and Richard Clarida,
So much for diversification…
. . . and decoupling for that matter.
We’re being facetious, of course. A new academic paper from McGill University asks whether “…the potential for international diversification” is disappearing,
Chasing the fat tail
Alternate title: Building a better Monte Carlo model.
Risk managers and investors will, of course, be familiar with Monte Carlo simulations — which are used in finance to value potential loan losses and things like portfolio risk or derivatives.