Daily Archives: 12 September 2009

Ten Notes on Risk in the Markets

1) Credit cycles tend to persist for more than just one year.  That is one reason why I am skeptical of the run in the high yield corporate bond market at present.  Sharp short moves are very unusual.  To use 2001-2003 as an example, we got faked out twice before the final rally commenced.  So, […]

Risk Management at Banks

I have never been a fan of VAR (Value at Risk), but I recognize that mathematical techniques are only as good as those that use them.  Questions arise with any quantitative risk technology: What’s my time horizon?  (What’s your longest asset or liability?) Do I have to be good over this entire time horizon, or […]