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Monthly Archives: June 2013
Managing financial risk and the limitations of quantitative modeling
John Kay in a 2011 column says that the management of risk is “almost entirely a matter of management competence, well-crafted incentives, robust structures and systems, and simplicity and transparency of design.” (“Don’t blame luck when your models misfire” Wednesday … Continue reading
Marginal Contribution to VaR for Simulation
Last week I was talking to a group of risk professionals and advocating marginal contribution to risk when someone asked “what about calculating marginal contribution to VaR for historical or Monte Carlo simulation?” (NB – we’re talking here about Litterman’s … Continue reading