Getting back to risk measurements you can’t ignore VaR: it’s a well-known and established risk statistics, sanctified by watchdogs all over the world, that risk managers look at in an attempt to predict the potential downside in a financial asset or portfolio of assets exposure. There are many approaches to
If you want to take investment risk for a spin, you should definitely allocate some of your hardly-sweated savings on your favorite stock – better starting with a broad stock index tracker, a.k.a. ETF, and then moving to the next level of individual stocks, if you like hot and spicy
As part of our cycle on “Liquidity” and as an appetizer, I’d like to show how interesting dates are when it comes to estimating money market liquidity risk-on/risk-off bouts using the ECB “liquidity risk indicator” (LRI, see plot below): the last ‘changepoint’ in the LRI is at the end of
The financial crisis 5 years on: the systemic risk indicator by the ECB and its “changepoint”.
