August, 2014


Tracking the Elusive Black Swan

Enterprise risk management (ERM) requires a “robust framework design and collaborative approach to capture a black swan event before its occurrence,” said Brenda Boultwood, Senior Vice President of Industry Solutions at MetricStream.  She was the second of two speakers at the GARP-sponsored webinar on Black Swans and Reputational Risk held on August 26, 2014. Black swan events are “close to impossible to estimate impact and likelihood,” such as the Japan 2011 tsunami, or Hurricane Katrina. The complexity of these types of risk “requires that we focus on what is most important” in strategic risk management, said Boultwood, naming four principal areas: […]

“They Kill Things!”

Enterprise risk management (ERM) should aim to fill the strategic advisor role, which is the most valuable role, said Jim Fitzmaurice, Executive Advisor at Corporate Executive Board (CEB), because “the strategic advisor focuses on improving risk-informed strategic decisions.” Fitzmaurice, who advises both CEB Audit Leadership Council and CEB Risk Management Leadership Council, was the first of two speakers at the August 26, 2014 webinar on Black Swans and Reputational Risk sponsored by the Global Association of Risk Professionals. Fitzmaurice began by showing how the evolution of ERM has been a progression in the prominence of its role and a concomitant […]

Hedge Fund Fallacy

“If all the money that’s ever been invested in hedge funds had been put in treasury bills instead, the results would have been twice as good,” said Simon Lack, founder of SL Advisors, LLC, and author of The Hedge Fund Mirage: The Illusion of Big Money and Why It’s Too Good to Be True. This statement was his opening volley in a webinar titled “The Hedge Fund Fallacy” on May 5, 2014, sponsored by the CFA Institute. Lack began with a “typical portrayal” of hedge fund returns: a 6 percent return over the period 1998 to 2013. Over the same […]

Clickable Calculus

When finding a definite integral, do you spend an inordinate amount of time in the step-by-step algebra? Let’s say you are integrating over a probability of default function that has been fitted to real-life data (a non-normal curve) and you want to understand step-size dependence. Or perhaps you are a beginning student of mathematical finance, reviewing the fundamentals of integration, and you just wish there was a faster way to change functions and spit out a graph. “Integration is a summative process, and the applications that show this can become a time-sink,” said Robert Lopez, Emeritus Professor of Mathematics at […]