IMF paper argues crisis might have changed them for the worst.
Coverage of the 2010 Investment Innovation Conference.
Coverage of the 2010 Investment Innovation Conference.
Coverage of the 2010 Investment Innovation Conference.
Funds with formal models better off during 2008 crisis.
As soon as two active players are involved, we can no longer ignore behavioral uncertainty.
A large loss is not evidence of a risk management failure...
Risk models should be retooled in light of crisis.
Two recent enhancements in financial engineering allow us to bring this theory to the real world of investment.
...equity market risk can be modelled successfully using Extreme Value Theory and Expected Shortfall.