Managing Risk Beyond Asset Class Diversification
“The ‘new normal’ in asset allocation must be forward-looking and driven by macroeconomics, said Sébastien Page, Global Head of Client Analytics, Executive Vice-President at PIMCO. He was addressing a CFA Society Toronto luncheon on October 15, 2012 in Toronto’s historic National Club. Traditionally, asset allocation focussed on diversifying according to asset class. In the ‘new normal,’ Page recommends diversifying across risk factors. “Think of asset class as simply a container of risk factors,” he suggested. He gave another metaphor in line with the luncheon crowd. “Think of risk factors as components like proteins, carbohydrates, and fats. An asset class would […]
Real-Time Risk Analytics, SAS Style
“Analysts in capital markets get pummeled with vast quantities of information,” said Jeff Hasmann, “sometimes receiving as many as twenty newsfeeds per day. How are they to make sense of it all?” Hasmann was the first of three panelists speaking at the Global Association of Risk Professionals (GARP) webinar, “Modernizing Financial Risk Management: The Changing Technology Paradigm” on May 22, 2012. There is a push to modernize financial risk management from both above and below. Besides handling information overload, Hasmann noted there are several reasons to modernize: evolving regulations, improvements in efficiency to be gained, and needs for standardization. Hasmann, […]