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’Stress-testing Ireland’s stress testers
BlackRock is really making a name for itself in financial crisis-related services — valuing the Fed’s Maiden Lane portfolio and undertaking the Irish banking stress tests too. But Ireland’s central bank also hired Boston Consulting Group (BCG) to supervise the stress testers,
Quants vs decimals
In early 2009, customers of AXA Rosenberg began complaining of ‘industry overexposure’ in their portfolios, according to an SEC order published on Thursday.
Fast forward two years and AXA — which was one of the pioneers of quant models for portfolio investments — has now been fined $242m by the US securities watchdog,
Whoops!
This video (purportedly) shows a Macquarie Bank worker caught assessing certain non-bank assets, while his colleague talks Australian interest rates with 7 News:
Trivia of the Day: That’s reportedly Australian model Miranda Kerr he’s looking at.
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.
On Goldman’s fat tail risk
Financial blog Zero Hedge points us in the direction of a risk management presentation from Goldman Sachs.
The majority of slides are typical management-type stuff. There are some impressive Venn diagrams and graphics of interlocked puzzle pieces,
Models read Clusterstock?
Yes. That’s right. Not quant-type modellers, but real, actual, commercial, fashion-type models.
In case you’ve missed it ex- Goldman Sachs investment banker-turned-male model David Webb has hit the headlines in recent weeks.