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...
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
In this article, we will address some policy changes related to the U.S. mortgage market and our model changes as well as a few...
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...
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...
Traditional performance analysis techniques such as benchmarking, peer grouping, and Brinson attribution have generally been used...
The crisis we are experiencing today is unlike any other. With the rapid global spread of the COVID-19 novel coronavirus, we are...
Via FactSet StreetAccount
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The Coronavirus Emergency: A Quantitative View
The coronavirus pandemic represents an unprecedented challenge to all investors. The global situation is deeply uncertain and...
How Asset Managers and Owners Are Leveraging Technology for Better Enterprise Risk Management
Advanced technologies and data strategies are creating transformative opportunities to reduce operating costs and sharpen...
Choosing a Benchmark Data Provider [INFOGRAPHIC]
To determine the right benchmark provider for fixed income and multi-asset class markets, review these key themes and essential...
GIPS 2020: The Challenges and Benefits of Compliance
What drove the evolution of the GIPS standards and the industry challenges the CFA is aiming to solve with this update.
Distribution (or Showcasing the Secret Sauce)
Our final piece takes on the theme of distribution; the full series can be downloaded here...
The coronavirus outbreak has taken center stage, sparking nervousness around the world and severely hampering business in Asia’s...
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