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, […]
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 […]
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