BY Ana Cascon and William F. Shadwick | August 23, 2010
...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.
BY Josef Lakonishok and Bhaskaran Swaminathan | August 23, 2010
How different are the style exposures and portfolio characteristics of quantitative and fundamental managers?
BY Scot Blythe | August 19, 2010
Online debate explores active versus passive approaches.
BY Paul Williams | August 18, 2010
"Never in the history of the world has any measure been brought here so insidiously designed as to prevent business recovery..."
BY Bloomberg | August 17, 2010
European stress tests last month eased speculation that fiscal distress in Greece, Spain and Portugal may spread and prolong market turmoil.
BY Caroline Cakebread | August 16, 2010
Japan’s nominal gross domestic product for the second quarter totaled $1.288 trillion, less than China’s $1.337 trillion.
BY Scot Blythe | August 16, 2010
Matt Rothman, describes yawing volatility, noting that all stocks seem to move at something close to the same rate – 70% of the time.
BY Ana Cascon and William F. Shadwick | August 16, 2010
In this week’s installment, we travel back in time to see what our risk technology, based on EVT and Expected Shortfall (ES), would have told a US equity investor in the run-up to the 1929 Crash.
BY Caroline Cakebread | August 12, 2010
Neither spending more nor taxing less will help the country pay its bills.
BY Scot Blythe | August 12, 2010
Who could have known what countries were in trouble betwixt the cup of the Great Moderation and the sip of the Great Recession?