risk models
4 statements across 2 episodes · 0 bullish · 4 bearish · 2 people on the record · first statement Jan 29, 2018 by Seth Masters · across every show →
Everything said about risk models, oldest first
Jan 29, 2018 negative
Jan 29, 2018 negative
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…”
Jan 29, 2018 negative
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…”
Nov 9, 2020 negative
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…”