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Tag Archives: Risk Management
JP Morgan “London Whale” series by Lisa Pollack
I discuss the JP Morgan “London Whale” credit derivatives trading loss in my “Practical Risk Management Course” at the University of Chicago Booth School of Business. I found Lisa Pollack’s discussion of the background and details invaluable. The following is … Continue reading
What is the link between VIX and VaR?
VaR is Value at Risk – a concept widely used (and miss-used) in financial risk management. VIX is the Volatility IndeX, a measure of the implied volatility of S&P 500 index options. (Legally, it is a trademarked ticker symbol for … Continue reading
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