The Creator of VaR Explains How Large Banks Measure The Risk Of Their Own Portfolios
Odd Lots25 Jun 2018

The Creator of VaR Explains How Large Banks Measure The Risk Of Their Own Portfolios

Earlier this year, markets were spooked by blow-ups in a number of volatility-linked products. But dealing with volatility is the foundation of risk management on Wall Street and there's a particular model that's become pervasive among big investors and banks -- so-called Value-at-Risk (VaR) models seek to gauge how much a portfolio might gain or lose based on historic price movements. On this week's episode of the Odd Lots podcast, we speak to one of the original creators of VaR. Till Guldimann explains how he came up with the model while at JPMorgan, plus how it works, its limitations, how it can be gamed, and what he thinks of the volatility landscape now.

See omnystudio.com/listener for privacy information.

Episoder(1190)

Tracy and Joe Answer All Your Questions

Tracy and Joe Answer All Your Questions

It's that time of the year. On this episode, Tracy and Joe answer questions from listeners that were submitted via voice note. We talk about everything from Chinese history to whales to whether or not...

1 Jan 34min

Goldman's Hatzius and Snider on the Outlook for 2026

Goldman's Hatzius and Snider on the Outlook for 2026

2025 was an extraordinary year, with the real economy defying recession worries and equity markets putting up monster returns. So can this be repeated again in 2026? On this episode, we speak with two...

29 Des 202546min

Merryn Talks Money: John Law, The Gambler Who Invented Modern Money (Part 1)

Merryn Talks Money: John Law, The Gambler Who Invented Modern Money (Part 1)

Hello Odd Lots listeners! As we take a break for the holidays we'd like to take a moment and bring you an episode by one of our sister shows here at Bloomberg Podcasts, Merryn Talks Money. In this sp...

26 Des 202533min

Scott Kupor's New Plan to Bring Tech Workers Into the Federal Government

Scott Kupor's New Plan to Bring Tech Workers Into the Federal Government

If you're a high-skilled tech worker, then potentially huge fortunes await you working for a startup or one of our booming AI giants. But the government needs these types of workers too. And the gover...

25 Des 202559min

Why Americans Are Falling Behind on Auto Loans At Their Highest Level Ever

Why Americans Are Falling Behind on Auto Loans At Their Highest Level Ever

By and large, American households are in a healthy economic position. Yes, unemployment has been rising, but it's still at fairly low levels. Consumer spending has held up well despite terrible sentim...

22 Des 202550min

The Booming Business of Chinese Peptides

The Booming Business of Chinese Peptides

You probably already know someone doing peptides — the amino acids that form the basis of popular new drug treatments like Ozempic and Wegovy. Today there are peptides meant to help with everything fr...

19 Des 202548min

Meet the Politician the AI Industry Is Trying to Stop

Meet the Politician the AI Industry Is Trying to Stop

The politics of AI are already exploding. Whether we're talking about data centers, electricity prices, labor displacement, water consumption, competition with China, or users of chatbots becoming psy...

18 Des 202547min

MeatEater's Steven Rinella on the Economic History of Hunting

MeatEater's Steven Rinella on the Economic History of Hunting

When we think about America’s economic rise, we usually point to agriculture or the industrial revolution. But in the early days of colonization, one of the biggest economic drivers wasn’t crops or fa...

15 Des 202554min

Populært innen Business og økonomi

lydartikler-fra-aftenposten
stopp-verden
dine-penger-pengeradet
rss-penger-polser-og-politikk
e24-podden
rss-borsmorgen-okonominyhetene
pengepodden-2
livet-pa-veien-med-jan-erik-larssen
pengesnakk
finansredaksjonen
tid-er-penger-en-podcast-med-peter-warren
stormkast-med-valebrokk-stordalen
utbytte
morgenkaffen-med-finansavisen
liberal-halvtime
rss-sunn-okonomi
lederpodden
rss-markedspuls-2
rss-pa-konto
rss-investering-gjort-enkelt