Most recent articles by Olivier d'Assier
Who Let The Dogs Out?
We began our attempt to model a war scenario between the US and North Korea by looking for some historical precedents in our database.
I am shocked – shocked – to hear that impeachment talk is going on in this market!
I recently attended a large quant conference in Hong Kong during which I overheard some of the participants discussing what the recent political noise out of the US could mean.
A rolling stone gathers no moss, but an old risk model does
Investors have been talking about risk ever since the first time one of them got a forecast wrong.
Are low volatility readings capturing a sense of calm or foreboding?
Last Friday, the Vix – often referred to as the “fear gauge” – declined 6.6% in a single day to close the week at 10.1.
Frexit – a Brexit with More Bite
Risk managers are once again being asked to come up with a stress scenario for the aptly named ‘Frexit’.