Most recent articles by Olivier d'Assier
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. Given the impossibility of the investor in question being blamed for this outrageously unpredictable outcome, a third-party had to be named to take the fall and, thus, ‘risk’ was born. Like all negative things in life, we would rather not think about ...
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’.
Exposing Vulnerabilities with a Multi-Asset Class Risk System
We recently published a paper that discusses how the analysis of a global equity portfolio can be enhanced through the use of a multi-asset class risk solution.