Wednesday, January 28, 2009

Soros has a plan

Interesting comment on asymmetric relationship between shorting stocks and shorting bonds using cds. / Comment / Analysis - The game changer

Friday, January 09, 2009

Lessons from the Crisis

Daniel Acemoglu of MIT gives us some lessons.

1) Volatility still exists
2) Capitalism needs institutions. (The end of Aryan Rand)
3) Firm's value of their reputation is not enough to maintain ethical standards.

Summaries here and here

U6 hits 13.5 Percent

Total unemployed, plus all marginally attached                                                                                    
workers, plus total employed part time for
economic reasons, as a percent of the civilian
labor force plus all marginally attached workers.

Dec 2008 U6

Graph from Big Picture

Tuesday, January 06, 2009

Some day I will ...

11 Ways to Cure Someday Syndrome | Zen Habits

Woefully Misleading Piece on Value at Risk in New York Times

VAR was misused by risk managers and CEO's to mistate risk.

naked capitalism: Woefully Misleading Piece on Value at Risk in New York Times

The myth of the riskometer

Simpler is better.

Much of today’s financial regulation assumes that risk can be accurately measured – that financial engineers, like civil engineers, can design safe products with sophisticated maths informed by historical estimates. But, as the crisis has shown, the laws of finance react to financial engineers’ creations, rendering risk calculations invalid. Regulators should rely on simpler methods.

Financial regulation built on sand: The myth of the riskometer | vox - Research-based policy analysis and commentary from leading economists

Saturday, January 03, 2009

Yale's Swensen

Swensen on Bloomberg:

There isn’t an investment strategy that can produce the kind of long-term results we’ve generated at Yale that isn’t going to post the occasional negative return,” Swensen said in the Dec. 30 interview. “I don’t think people should disregard the book because of the market trauma of the last few months. We’re not even done with the current fiscal year. Judging a long-term investment strategy based on the results of a five- to six-month period is foolish beyond words.”

The barking swan

One critic of Taleb

Models & Agents: The barking swan