Why Getting Risk Right Is Wrong
Thought Leadership Webinar: Many investment professionals who use risk models make a common mistake. They assume that a risk model is working well if the amount of volatility realized by a particular asset or portfolio is consistent with what the model had predicted. In this presentation we will provide five different rationales as to why seemingly unbiased estimates of volatility are undesirable both statistically and economically.
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Webinar Experts CRL Credits
Presented By:
Dan diBartolomeo
Date:
February 6, 2019
Time:
10:00 a.m. - 11:00 a.m. US EST
Session Length:
60 minutes
Many investment professionals who use risk models make a common mistake. They assume that a risk model is working well if the amount of volatility realized by a particular asset or portfolio is consistent with what the model had predicted. They believe that volatility forecasts should be an unbiased estimator of subsequent realized volatility. In this presentation we will provide five different rationales as to why seemingly unbiased estimates of volatility are undesirable both statistically and economically. The implications of these arguments are that professional investors routinely take too much risk, back-tests and simulations fail to capture the true risk of strategies, and that evaluation of investment performance is biased toward perceiving luck as skill -- leading to upward biased performance related compensation.
| About Our Experts |
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Bio |
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Dan diBartolomeo is President and founder of Northfield Information Services, Inc. Based in Boston since 1986, Northfield develops quantitative models of financial markets. He sits on boards of numerous industry organizations including IAQF and CQA and is a director and past president of the Boston Economic Club. His publication record includes more than thirty books, book chapters, and research journal articles. Dan spent many years as a Visiting Professor at Brunel University, and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts. At the beginning of 2018, he became one of the two editors of the Journal of Asset Management.
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| Continuing Risk Learning Credits: 1 |
PRMIA Continuing Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].
| Registration |
| Membership Type |
Price |
| Sustaining, Corporate, and RIM Members |
$ FREE |
| Contributing Member |
$ 35 |
| Non Member |
$ 75 |
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Online registration not available.