zenstockman

How Good are RiskMetrics' Tools?

When I saw your title, "How Good are RiskMetric's Tools?" I assumed you were actually a user of those tools or had some statistical data to back up your evaluation. My assumptions were wrong, as could be your assumptions that RMG’s tools are somehow flawed or poor models for predicting risk.

In almost any statistical model the long-tail, which seems unheard of to investment professionals in smooth-sailing markets, is always a possibility. What is clear is that the more esoteric derivatives will always be a step ahead of those hoping to evaluate their pricing. I think this is part of an investment banker’s mantra (i.e. “Liar’s Poker” by Michael Lewis).

Please keep this “on one’s watch list” and let us know when you have something concrete. Thanks.