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1. Introduction
2. Risk management: lessons from the credit crisis
3. Lesson 1: the importance of liquidity
4. Lesson 1: the paramount importance of liquidity
5. Assumptions are just assumptions
6. VIX
7. Trailing 60 day correlation - Momentum & Value
8. 220 day cumulative returns to Barra factors (1)
9. 220 day cumulative returns to Barra factors (2)
10. Assumptions are just assumptions - summary
11. Garbage (or worse) in/Garbage (or worse) out (1)
12. Garbage (or worse) in/Garbage (or worse) out (2)
13. The sources of risk change quickly (1)
14. The sources of risk change quickly (2)
15. You can't cram for a crisis (1)
16. You can't cram for a crisis (2)
17. Volatility is only half the story
18. US "Quality" - 1973 to date (1)
19. US "Quality" - 1973 to date (2)
20. Average earnings yield broken by Junk / Quality
21. Active earnings yield broken by Junk / Quality
22. US "Quality" - 1973 to date (3)
23. Summary
24. Disclaimer

Topics Covered

• Risk management
• lessons from the credit crisis
• The importance of liquidity
• How Assumptions are just assumptions
• Trailing 60 day correlation (Momentum & Value)
• 220 day cumulative returns to Barra factors
• Garbage (or worse) in/Garbage (or worse) out
• The quick change in sources of risk
• The inability to cram for a crisis
• How volatility is only half the story
• US "Quality" (1973 to date)
• Active and average earnings yield broken by Junk / Quality

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on November 30, 2010