Archive | Risk Measurement

RSS feed for this section
modeling

Don’t Blame the Modelers

October 4, 2008

With the markets in turmoil, I have little time to comment publicly, and breaking through to be heard above the clatter is all but impossible. Reporters seeking sound bites don’t help. From: Tansy Harcourt To: Glyn Holton Sent: October 1, 2008 Subject: Consulting Hi Glyn, I’m a journalist in Australia for the Australian Financial Review. [...]

incoherence

The Case for Incoherence

September 13, 2008

Imagine you are stranded on a desert island. For fresh water there are three natural springs, but it is possible one or more have been poisoned. To minimize your risk, what is your optimal strategy for drinking from the springs? You might: select one of the three springs at random and drink exclusively from it, [...]

individual_2

Market Makers’ Dilemma

October 11, 2007

One of my clients deals in a specialty commodity. They source the commodity, process it, and then sell it in local markets around the world. In some local markets, my client is a two-bit player. In others, they are the market maker. In those markets, they largely set the price of that commodity. Unlike a [...]