Risk Models
topic on 2 shows · 5 statements across 3 episodes
5 statements about Risk Models, every show
Williams: Granular trading risk models are a bad fit for institutional allocators
“Well, that's helpful to someone who's trading A portfolio, say, of a number of stocks and bonds, multi-asset class, we brought those models to institutional investors, but that's not at all the right way to approach the problem. They have different purposes. S…”
Low-volatility risk models will misclassify normal downturns as extreme anomalies
“If we are going to see a transition from abundant liquidity to less abundant liquidity, the risk of something going wrong and the penalty for that thing going wrong when it does are going to be higher than what we've experienced recently. And when that happens…”
Industry reliance on third-party risk models creates severe systemic market risk
“Almost everybody these days actually uses risk models that someone else developed. There's only a few someone else's, and they're all competing with each other in a marketplace. So guess what? There's conversion thinking on this, which is really bad, because e…”
Commercial investment risk models rarely use data older than ten years
“Almost no one has risk models that use data that goes back further than 10 years, let alone 20 or 30.”