Interesting panel debate at RiskMinds Wednesday morning, entitled “Sophisticated Complex Models vs. Crude Robust Risk Measures“.
Riccardo Rebonato of RBS started off the debate in (untypically?) controversial style by saying that he thinks that the risk management models (mostly VaR) used in financial markets are peculiar.…
Avinash Persaud of Intelligence Capital gave the opening talk of the morning at RiskMinds (see first of set of posts from last year here) and put forward a lot of the very good ideas that he has contributed to in the recent Warwick Commission Report.…
I attended the Quant Invest 2009 event for the first time last week in Paris. The event is unsurprisingly about quantitative investment strategies, but with an institutional asset manager and hedge fund focus – so not so much about ultra-high frequency trading (although some present) but more about using quantitative techniques to manage medium/longer-term investment decisions and applied portfolio theory.…
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