Books and Periodicals

Books, book chapters and trade-magazine articles written by our researchers.

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  1. One of the triumphs of Value at Risk (VaR) is that it made sense on both the trading floor (“it’s like a point spread”) and the corner office (“it’s like an actuarial prediction”).

  2. Risk managers shouldn’t tell portfolio managers which positions to take. Their job is to identify interactions, model outcome distributions and estimate the long-term results of alternatives. Their main output is optimal risk level.

  3. A review of Daniel Gardner’s book The Science of Fear and the lessons it holds for practitioners of financial risk management.

  4. A review of quantitative investing, performance of quantitative strategies, and outlook.

  5. This book discusses chance, risk, gambling, insurance, and speculation to illuminate where societies stood, where society is today and where we may be heading.

  6. Many quantitative techniques in risk management rely on resampling historical data. Historical simulation VaR is one common example. The trouble is that this ignores the distribution of possible outcomes in between observed points, and outside the minimum and maximum points.

  7. In risk management, we are searching for plausible future events that can hurt us. Searching for risk sure is a lot more fun when you know what you're looking for.

  8. Is it possible to design an enterprise structure that automatically accommodates differing risk preferences?

  9. Many traders and investment managers focus on the quality of individual bets — whether a single trade or a firm’s entire portfolio — and pay insufficient attention to their sizing.

  10. Simple reserve requirements have given birth to a complex of practices and regulations designed to prevent runs on banks. We used to have a much better protection: inefficiency.