In this month’s Financial Analysts Journal, Tyler Cowen professor of economics at George Mason University, Virginia makes sense of the current financial crisis by drawing on some of Fischer Black’s ideas.
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A Simple Theory of the Financial Crisis; or, Why Fischer Black Still Matters
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Photo gallery: FIS 2026 at Raffles Singapore
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CheckRisk rethinks the risk business
Beta-driven equity investors may currently be taking far greater risks than they are getting paid for when seeking broad market exposure, British risk expert Nick Bullman warns. Bullman, the founder of specialist risk consultancy CheckRisk, has developed a methodology using macroeconomic research along with econometric and behavioural risk inputs to identify what he describes as
Conservative Korea
Korean corporate pension funds have grown more conservative in their investments, increasing already high allocations to guaranteed-insurance contracts (GICs) and term savings, the Towers Watson Korea Pension Report shows. The annual snapshot of the Korean pension market found that 93 per cent of corporate pension-plan assets are allocated to principal-guaranteed products, of which nearly 58
Report reveals Norway’s SWF climate risk
Norway’s 3496 billion kroner (US$582.7 billion) sovereign wealth fund could suffer significant losses in a range of climate-change scenarios if it fails to hedge its risk by investing in climate-sensitive assets, the release of a confidential report shows. Norway’s Ministry of Finance recently released an extensive study by asset consultant Mercer on the effects of
Risk modelling
requires review
Advocating the use of financial models a six-year-old could understand and warning that the dogmatic belief in overly complex and unrealistic models contributed to the financial crisis were some of the challenging views put to the attendees of the recent CFA Institute’s annual conference. Throwing down the gauntlet was GMO asset-allocation team member James Montier,
Institutional investors fall behind USA Inc
Institutional investors are clearly behind in risk management compared to the innovative techniques implemented in treasury departments of corporate America, chief investment officer of Wurts and Associates, Jeff Scott says. Scott, who spent his career managing the balance sheet at Microsoft, Dow Chemical, the Alaska Permanent Fund and now investment consultant Wurts, says institutional investors
Pipes over promises
The Canadian Pension Plan Investment Board (CPPIB) is shunning European sovereign bonds, with the $152.8-billion fund’s head of investment saying European infrastructure offers far more attractive risk/return opportunities. Mark Wiseman, CPPIB’s executive vice-president of investments, told delegates at last week’s Milken Institute Global Conference 2012 in Los Angeles that the fund had chosen not to
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