Lotteries for good
Interesting post over at Moneybox on using lotteries for selling concert tickets. Major point is using lotteries explicitly and more fairly rather than implicitly and inefficiently.
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complexity, economics, Equity Risk Premium, financial risk, investments, managing uncertainty, market risk, measurement
Credit Suisse annual update on market performance
Read more: Credit Suisse annual update on market performanceCredit Suisse has for several years now put out an annual Credit Suisse Global Investment Returns Yearbook 2013 is out now. It’s worth reading in its entirety for the insights. I don’t agree with everything there, and I certainly don’t agree with the widely held view (not among the authors) that the universe of countries included…
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Different types of predictions
Read more: Different types of predictionsAs part of the run-up to my overview of my own predictions for 2012, I thought i should highlight why I bother at all. Most predictions, most of the time, will be wrong. Crystal balls aside, it is nearly impossible to reliably, accurately predict future complex events. However, the process of rigorously considering what might…
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Actuarial and Risk, capital, financial risk, insurance, investments, managing uncertainty, market risk, measurement, Solvency Assessment and Management, Solvency II, valuation
SAM Risk-free Rate Workshop
Read more: SAM Risk-free Rate WorkshopThe Technical Provisions Task Group and KPMG ran a workshop for industry participation on risk-free rates recently. The idea was to see whether we could improve the extent and quality of industry comment on key, controversial areas of the proposed SAM regime. Turnout was good, but not great, but the discussion and points raised were…
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alternative investments, banking, currency risk, economics, inflation, investments, managing uncertainty, news
Gold ain’t happening yet
Read more: Gold ain’t happening yetPaulson and Soros still think Gold is a buy, adding to their stakes as the price declines. It’s also not very brave of me to blog about this now as gold has declined when for much of the financial crisis it was increasing in price. I’ve been watching other things. The idea that the gold…
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Up up and away
Read more: Up up and awayOk, up up, down, up, down down down, up up and away. I’ve been away furiously recruiting staff and working on QIS2 while completing a house move, so not much blogging recently. Should pick up again shortly. The other news is of course Spanish bond yields, which were heading for the stratosphere before the latest…
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Not only eggs will be broken
Read more: Not only eggs will be brokenVolatility skew didn’t exist before the 1987 market crash. Before then, the assumptions of the Black-Scholes option pricing model were felt to be about right. Constant volatility, continuously tradeable instruments with no discontinuities in prices, independent returns from one period to the next. Then the market crashed downwards exhibiting leptokurtic, negatively skewed returns and large…
