Risk needs new clothes


Nightingale says economists William Sharpe, creator of the Sharpe ratio for risk-adjusted analysis, and his collaborator Harry Markowitz have conned the markets by equating risk to volatility. He compares Sharpe and Markowitz, who jointly won the Nobel Prize for Economics in 1990, to the tailors who created the emperor’s new, invisible clothes in the Hans Christian Andersen story.

“I think they should have got Nobel prizes for taking the Michael, not Nobel prizes for economics,” says Nightingale

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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