Back-testing Studies on the FactSet Short-term Risk Model During the COVID-19 Outbreak
It became a common theme post-2008 that VaR is not able to capture extreme events. This is only true if VaR is assessed based on...
COVID-19 and the Mortgage Market
Here we outline policy changes related to the U.S. mortgage market and changes to our mortgage prepayment model to address the...
Tracking the global impact of COVID-19 - Weekly summary
A weekly summary tracking the global impact of coronavirus.
Be Aware, Adapt, Innovate--or What We Learn from Mandelbrot, Noah, and Covid-19
A year before the breakout of COVID-19, I published an article which discusses how to transform investment uncertainty and risks...
Tracking the global impact of COVID-19 - Weekly summary
A weekly summary tracking the global impact of coronavirus.
Five Economic Charts to Watch: United States (COVID-19 Edition)
We're starting to get some clarity on the economic impact of the COVID-19 novel coronavirus on the U.S. economy.
How Market Volatility Affects Asset Class Behavior
In recent months, the market has seen a massive uptick in volatility. When just looking at the VIX, which is a measure of...
Tracking the global impact of COVID-19 - Weekly summary
A weekly summary tracking the global impact of coronavirus.
Markets Struggle to Quantify the Impacts of COVID-19
The outlook remains volatile due to underlying uncertainty as to how coronavirus will ultimately impact the U.S. market.
The Rapidly Changing Global Economic Outlook
As forecasters struggle to quantify the impact of containment measures to stop the spread of COVID-19, we have seen drastic cuts...
Tracking the global impact of COVID-19 - Weekly summary
A weekly summary tracking the global impact of coronavirus.
The Inevitable Downgrade for South Africa
Recent ratings downgrades could prompt significant capital outflows from South Africa over the course of 2020 and raise borrowing...
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