Posts Tagged ‘Risk


Fun & Finance: #12, Gestión de Riesgo

Nuevamente con la participación de Marco Avellaneda, quien le explica a una audiencia virtual (tipo TED) sobre que es Risk Management y por que es importante.

Siempre mejor HD!

Y en busca del LIKE THIS.


Gráfico du Jour: Really Too Big To Fail (RTBTF)

(Fuente Fitch, via FT Alphaville)



Paper: Hedge Funds, exposiciones, riesgos

On the High-Frequency Dynamics of Hedge Fund Risk Exposures

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that capturing within-month variation is more important for hedge funds than for mutual funds. We consider different within-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in portfolio allocations, rather than changes in the risk exposures of the underlying assets, are the main drivers of hedge funds’ risk exposure variation.

Link al Paper


Stress Test bancos europeos 2011

Hoy -como hace un año atrás– se realizó el stress testing a la banca europea.

8 bancos estuvieron por debajo del umbral, pero podria haber sido 20:

Eight banks failed, but 20 banks would have failed but for capital raising between the starting period of the test (end of 2010) and now. EBA allowed these banks to count up this capital even if (er) there’s no actual capital there yet.

FT Alphaville

Siempre se puede cocinar…


Paper: ¿Esta el distress risk compensado?

Is the Value Premium really a compensation for Distress Risk

This study provides a comprehensive investigation of the relation between the value anomaly and distress risk. Using risk measures based on accounting models, structural models, credit spreads and credit ratings, we find no relation between the value premium and distress risk. Our findings are inconsistent with the notion that the value effect is a compensation for distress risk.

Link al Paper


Paper: ¿La teoria “lastima”?

Is Portfolio Theory Harming Your Portfolio
Modern Portfolio Theory (MPT) teaches us that active equity managers who use judgment to make investment decisions won’t be able to match the returns (after fees and expenses) of blindly-invested, passively-managed index funds. Data on returns supports the theory, so it’s no surprise that investors are leaving actively managed funds in droves for the better average returns of super-diversified index strategies. Yet the reality is much murkier than we’ve been led to believe.

It turns out that the portfolio theories which inspired the creation and popularity of index funds and top-down, quantitatively-driven index-like strategies, are both flawed and impractical. There’s compelling evidence, moreover, that a subset of active managers do persistently outperform indexes. However, this important fact has been lost because we allow MPT to define the debate in its own misleading terms, tilting the field in its favor and hiding the reality about active manager performance in a complex game of circular arguments.

MPT relies on a number of unrealistic assumptions including an inaccurate definition of risk. Yet this characterization of risk sets the rules for comparing active vs. passive strategies, often causing active strategies to appear more risky and less efficient than their index counterparts. The same flawed logic is used to risk-adjust returns, biasing them downward for more active, concentrated managers, and rendering this highly important measure highly suspect. Furthermore, reliance on MPT’s measure of risk pressures active managers to super-diversify. The average active fund is thus disfigured to the point where the typical “active” manager is not very active at all, casting the fund in an unfavorable light in a beauty contest versus super-efficient index funds.

Stripping away the influence of portfolio theory involves isolating and evaluating the relatively small group of equity managers who rely heavily on judgment to build concentrated equity portfolios. Empirical data from multiple studies show that these concentrated managers, in fact, persistently outperform indexes. The implications of this statement are enormous. Concentrated manager returns present the best test of whether human judgment can add value in allocating capital, and they win, convincingly. Yet while judgment has prevailed over passive investing, few have taken notice. Most investors continue to look at average active manager returns, not recognizing that these returns are minimally influenced by judgment.

Regardless of MPT’s shortcomings on both a theoretical and empirical level, its dominating influence will not easily be dislodged. MPT is deeply woven into the fabric of our financial system, its mathematical grounding and precise answers inspire confidence. Further, its application is crucial in bringing increased scale and profitability to the financial services industry. Few want to see change. As such, common sense and judgment will continue to diminish in importance as top-down, quantitative strategies and blind diversification gain investment dollars.

An informed investor should welcome this shift. As highly-diversified strategies gain assets, inefficiencies become more prevalent because share prices are increasingly driven by factors other than fundamentals. Individual investors, seeking to exploit these inefficiencies and outperform indexes, should invest in several concentrated funds with strong track records. Managers of these funds have proven themselves adept at turning inefficiencies into strong returns for their investors, and persistence data demonstrates that past performance can indicate which managers are likely to continue to outperform. Concentrated fund returns may exhibit more volatility than indexes, but we now have proof that over the long-term, good judgment will be rewarded.

Link al Paper

Datos, Documentación y Conocimiento

Parece ser lo que proponen -en distinta prosa- Shiller y de Soto para prevenir futuras debacles económicas. O por lo menos, suavizarlas.

Posturas como estas alimentan el debate sobre la economía de la información.

Vale rescatar frases como tales:

“TODAY, our prosperity depends on finance, and on its associated disciplines of accounting and macroeconomics.” (Shiller)

“If we can agree that the recession wasn’t about bubbles but about the organization of knowledge, we can move on to restoring the systems that allowed the global economy to expand more in the last 60 years than in the previous 2,000” (de Soto)


Paper: Aseguradoras, políticas de inversión y de primas

Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer’s assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for insurance coverage. We characterize Pareto optimal investment and premium policies in this context and provide necessary and sufficient conditions for their existence and uniqueness. We then identify investment and premium policies under the risk shifting problem if shareholders cannot credibly commit to an investment strategy before policies are sold and premiums are paid. Last, we analyze the effect of solvency regulation, such as Solvency II or the Swiss Solvency Test, on the agency cost of the risk shifting problem and calibrate our model to a non-life insurer average portfolio.

Link al Paper


Gráfico du Jour: Yield vs. Riesgo

(Fuente: JP Morgan, via FT Alphaville)


Paper: Monedas y retornos

Countercyclical Currency Risk Premia

Currency excess returns are predictable, more than stock returns, and about as much as bond returns. The average forward discount of the dollar against developed market currencies is the best predictor of average foreign currency excess returns earned by U.S. investors on a long position in a large basket of foreign currencies and a short position in the dollar. The predicted excess returns on baskets of foreign currency are strongly counter-cyclical because they inherit the cyclical properties of the average forward discount. This counter-cyclical dollar risk premium compensates U.S. investors for taking on U.S.-specific risk in foreign exchange markets by shorting the dollar. Macroeconomic variables such as the rate of U.S. industrial production growth increase the predictability of average foreign currency excess returns even when controlling for the forward discount.

Link al Paper

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

Powered by

July 2020



Ingrese su dirección de email para suscribirse a este blog y recibir las notificaciones de nuevos posts via email

Join 34 other followers

Web Analytics Clicky