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• W2940808322 abstract "A risk management system should, at a minimum, explain asset class behavior and provide useful insights. Most current methodologies fall short in one or both areas: They have inconsistent explanatory power and offer little or no insight, forcing portfolio managers to resort to blind faith. How else can one explain the calamity that befell prominent institutions during the Great Recession of 2007/2008? Understanding the sources of risk is a critical component in managing it. An economic factor model provides this much-needed understanding. It not only explains the price behavior of diverse assets, but it does so in an intuitive manner. It is our hope that a better understanding will result in more resilient portfolios, limiting the drawdowns from market corrections and producing more favorable outcomes. The authors also envision novel uses arising from such a system that are currently not feasible. <b>TOPICS:</b>Risk management, financial crises and financial market history, factor-based models, portfolio construction" @default.
• W2940808322 created "2019-05-03" @default.
• W2940808322 creator A5047273686 @default.
• W2940808322 date "2019-04-25" @default.
• W2940808322 modified "2023-09-26" @default.
• W2940808322 title "A Risk Management System That Works" @default.
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• W2940808322 doi "https://doi.org/10.3905/joi.2019.1.082" @default.
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