Collection of important documents for risk management

[tradertanny]

Thank you

 

[Ken Abbott]

I will soon post some governance-related files.

 

[Sergio Oliveira]

Here is the MS Stuff spreadsheet many have asked about. I usually go through this in my classes. Please do not ask me to annotate it or provide additional details.

THANK YOU!
The world needs more Professors like you.
Best wishes, from Brazil.
-SR

 

[Pankaj Sonawane]

Thanks a tonne Ken .... Best things i have found on the internet in recent months .

 

[Ken Abbott]

Asset Management / Wealth Management

Perspectives on conduct risk in wealth management | McKinsey

https://www.occ.treas.gov/publicati...-services/pub-ch-investment-mgmt-services.pdf

What's Driving the Asset Management Industry Today?

What You Should Know about Asset Management Jobs

https://www.ey.com/Publication/vwLU...8/$file/ey-wealth-management-outlook-2018.pdf

https://www.capgemini.com/wp-content/uploads/2017/07/wealth_management_trends_2017_web_0.pdf

 

[statquant]

Thank you!

 

[longgamma]

This thread is a reminder of how little I know, even after a decade in the industry. Thanks for sharing!!

 

[Ken Abbott]

This thread is a reminder of how little I know, even after a decade in the industry. Thanks for sharing!!

I'm sure you know more than you realize you do. Mathematical/statistical wisdom, IMHO, is understanding the boundaries of your knowledge, knowing how to frame a problem, and knowing when to call in an expert.

 

[ExSan]

This thread is a reminder of how little I know, even after a decade in the industry. Thanks for sharing!!

This thread is worth!

 

[Ken Abbott]

Commodities

Here's some stuff on gold:

 

[Ken Abbott]

This is the VaR calc extracted from the "MC Stuff" lecture I gave at MIT.

 

[fborgia]

This is the VaR calc extracted from the "MC Stuff" lecture I gave at MIT.

Thanks. What a surprise to see you comment on the video that this was posted.

 

[Dasun]

Professsor can you please tell me what add in was used to calculate the Eigenvalues and Eigenvectors for the covariance matric. I can't seem to replicate the steps on my excel spreadsheet

 

[Ken Abbott]

Professsor can you please tell me what add in was used to calculate the Eigenvalues and Eigenvectors for the covariance matric. I can't seem to replicate the steps on my excel spreadsheet

It's VBA embedded in the spreadsheet. Similar algorithms can be seen in:
FreeVBCode code snippet: A Function That Computes the Eigenvalues and Eigenvectors For a Real Symmetric Matrix
YoichiroUrita/Math
YoichiroUrita/Math

 

[Dasun]

It's VBA embedded in the spreadsheet. Similar algorithms can be seen in:
FreeVBCode code snippet: A Function That Computes the Eigenvalues and Eigenvectors For a Real Symmetric Matrix
YoichiroUrita/Math
YoichiroUrita/Math

Thanks

 

[Frank Chen]

I wonder if the resources are still not outdated.

 

[Ken Abbott]

I wonder if the resources are still not outdated.

Some clearly are, but most are pretty general in nature; a gaussian copula now was calculated the same way in 1990. That said, I am considering doing a "culling" of these.

 

[Andy Nguyen]

@Ken Abbott
Any new reading on VaR being phased out and replaced by Expected Shortfall (ES)?
When will MFE programs update their curriculum to focus less on VaR?

 

[Ken Abbott]

@Ken Abbott
Any new reading on VaR being phased out and replaced by Expected Shortfall (ES)?
When will MFE programs update their curriculum to focus less on VaR?

The approach is basically the same. The tricky part is the way the BIS wants it reported. In addition to the ES using a full datatset, you must also do en ES with a limited dataset, and a "worst case" ES, historically. In addition, there are somewhat complex liquidity adjustments to be made. I expect to see a lot from Big 4 and other consulting firms on actual implementation.