Category Archives: Risk Management

Quantitative Risk Management

Published by Wiley in May 2012, this book presents a road map for tactical and strategic decision-making designed to control risk and capitalize on opportunities, covering the techniques and tools used to measure and monitor risk. These techniques and tools … Continue reading

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A Practical Guide to Risk Management

Published by the Research Foundation of the CFA Institute in July 2011, this monograph challenges the conventional wisdom that “risk management” is or ever should be delegated to a separate department. Good managers have always known that managing risk is … Continue reading

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A Guide to Duration, DV01, and Yield Curve Risk Transformations

Yield curve risk and sensitivities (DV01s) can be measured with respect to different variables: forward rates, par rates, zero yields, or others. This paper describes a simple method for transforming sensitivities between alternate representations and provides examples. The benefit of … Continue reading

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Black Swans and Brown Turkeys

Black Swans and Brown Turkeys The term Black Swan was introduced by Taleb to denote an event not only unexpected but not even considered within the realm of possibility – something so unexpected that it completely changes the terms of … Continue reading

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