A research paper by executives at the Dutch Central Bank, De Nederlandsche Bank, examines tail risk, and shows that historical tail betas are able to capture the sensitivity to future systematic tail risk. The paper can be downloaded here Systemic tail risk
Agency risk in public pension funds is a big problem waiting to surface, according to Britt Harris, chief investment officer of the Teachers Retirement System of Texas. “In terms of beliefs, you have to decide whether the pension system is a profit centre for beneficiaries or a political system to influence outcomes,” he says. “Also […]
Just when you thought you were safe, the next reiteration of risk parity has arrived. AllianceBernstein’s tail risk parity takes the concept of risk parity, reallocating assets uniformly according to risk, but it uses tail risk, not volatility, as the core measure. The concept of risk parity is a portfolio diversified according to risk, rather […]
According to the latest figures, an ambitious turnaround plan at the United Kingdom’s biggest supermarket chain, Tesco, has helped reverse falling profits. Last year the retailer, one of Britain’s largest private sector employers and a landmark in every town since founder Jack Cohen opened his first store in North London in 1929, also changed strategy […]
From a risk management perspective, tail risks and return distribution asymmetries of investments are important to analyse. Norges Bank Investment Management (NBIM) in this note describes a modelling approach that addresses some of the weaknesses of standard risk models. It uses the model internally as a complement to standard models to evaluate tail risk in foreign-exchange […]
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