Tag Archives | modeling

CII: Richard Bookstaber – Dynamic Risk Models

Richard Bookstaber: Human Complexity and the Financial Markets

Richard Bookstaber discusses value at risk modeling — easily the most illuminating talk at #CIIFall2017. It was certainly statistics aimed at the layperson. However, in listening to him, I was glad I completed by PhD comprehensive in statistics 35 years ago.  I scribbled a few notes. Although I can’t guarantee accuracy, if I motivate a few fund managers to read his The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction I will be delighted. Continue Reading →

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Modeling Black Swans

GMI Ratings has long maintained that the increasing frequency of Black Swan events in capital markets will continue to challenge traditional approaches to risk modeling and portfolio management. For at least the past two decades, doubts have been mounting about the ability of classical economic theories and portfolio management philosophies to reliably describe, explain or predict anomalous trends and events in the stock market. Value-crushing scandals, such as those at Chesapeake Energy, Carnival, Wal-Mart, Halliburton, MF Global, News Corporation and BP have become all too familiar. Continue Reading →

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