Comments on: AXA Rosenberg: Daily Data Proves Crucial in Risk Monitoring http://markovprocesses.com/blog/2010/05/axa-rosenberg-using-high-frequency-data/?utm_source=rss&utm_medium=rss&utm_campaign=axa-rosenberg-using-high-frequency-data Innovative research articles, news and opinions Mon, 26 Dec 2011 03:42:50 +0000 hourly 1 http://wordpress.org/?v=3.3 By: JFD http://markovprocesses.com/blog/2010/05/axa-rosenberg-using-high-frequency-data/#comment-37 JFD Fri, 21 May 2010 14:28:53 +0000 http://markovprocesses.com/blog/?p=902#comment-37 Not only did the portfolio management team’s risk model fail them, but also the management company’s risk management process. It’s possible that in this case the two are the same, therefore, the inmates monitoring themselves. A fund board should have in their employ a qualified risk manager and performance monitor reporting directly to and only to them. JFD Not only did the portfolio management team’s risk model fail them, but also the management company’s risk management process. It’s possible that in this case the two are the same, therefore, the inmates monitoring themselves.

A fund board should have in their employ a qualified risk manager and performance monitor reporting directly to and only to them.

JFD

]]> By: Jack Doyle http://markovprocesses.com/blog/2010/05/axa-rosenberg-using-high-frequency-data/#comment-32 Jack Doyle Thu, 20 May 2010 18:09:41 +0000 http://markovprocesses.com/blog/?p=902#comment-32 Not only did the portfolio management team's risk model fail them, but also the management company's risk management process. It's possible that in this case the two are the same, therefore, the inmates monitoring themselves. A fund board should have in their employ a qualified risk manager and performance monitor reporting directly to and only to them. JFD Not only did the portfolio management team’s risk model fail them, but also the management company’s risk management process. It’s possible that in this case the two are the same, therefore, the inmates monitoring themselves.

A fund board should have in their employ a qualified risk manager and performance monitor reporting directly to and only to them.

JFD

]]> By: Jack Doyle http://markovprocesses.com/blog/2010/05/axa-rosenberg-using-high-frequency-data/#comment-31 Jack Doyle Thu, 20 May 2010 14:04:54 +0000 http://markovprocesses.com/blog/?p=902#comment-31 If we were to distinguish between the fund's risk model, which, as you point out, clearly went haywire, and the firm's risk management process, then there were two failures, neither of which is excusable. If we were to distinguish between the fund’s risk model, which, as you point out, clearly went haywire, and the firm’s risk management process, then there were two failures, neither of which is excusable.

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