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Strategic Asset Allocation
What is Strategic Asset Allocation’s problem? It helps investment managers determine how best to spread their investments. But SAA can’t use standard mean-variance portfolio analysis. Adding a few standalone…
The pros & cons of Alternative Investments
Alternative investments are all the rage these days. But how do you select an investment strategy that optimally improves the risk/reward trade-off in your portfolio, while avoiding being overwhelmed…
The Uncertainty of Inflation Risk
Inflation is surging. But just how high will it go, and how long will it endure? The short answer is that no-one knows for sure. But while predicting the…
The Alternative Data Craze: Peering Behind the Curtain
To enhance returns, develop dynamic risk limits and beat competition, asset managers and hedge funds are increasingly turning to alternative data. But what’s driving the big demand for this…
How effective are your Scenarios?
Many business functions use automatically generated scenarios for pricing, hedging, and meeting regulatory and accounting requirements. These scenarios are generated with certain probabilities: real, risk-neutral, and so-called market-consistent ones….
What’s Missing in Asset and Liability Management?
Quite a bit, as it happens. Traditional Asset & Liability Management (ALM) assumes deterministic levels of assets and liabilities and focuses on interest rate, currency, and liquidity risks. Ideally, it should…
How to Stress Test for Extremely Unexpected Scenarios
Like reality TV or Marmite, surprises aren’t to everyone’s taste. Sometimes they’re nasty (like the pandemic and the lockdowns it caused). Sometimes they’re nice (like the rapid market recovery…
Synthetic Data: the Risk Manager’s New Gold, and How to Mine It
Like animal-friendly faux fur coats, synthetic data is manufactured – artificially created rather than resulting from actual events. It’s having a moment. Thanks to the failings of historical data…
Machine learning for strategic decision-making
How can you use machine learning for Strategic Decision Making in finance? This was the subject of Straterix CEO Alla Gil’s case study lecture at the 3rd Annual Machine Learning…
Risky Driving
Pre-pandemic, life was pretty simple: work was from an office, pajamas were for bedtime, and revenue projections of financial institutions and corporations were fairly predictable. But now history has…
Risk management in a sea of unknown unknowns
“There are known knowns…[and] known unknowns. But there are also unknown unknowns.” Donald Rumsfeld was referring to Iraq and WMDS, but the last part of that quote, about the…
Come with me if you want to remain solvent
The Terminator movie franchise left us with many memorable quotes, but the one from the unborn John Conner, relaed by the hero, Kyle Reese, in the 1984 original, is perhaps the…