Capital Market Risk Advisors
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CMRA Commentary

CMRA Articles and Commentary

Posts tagged VaR
Take a Close Look at Your Stress Test Assumptions: Implied Volatility is Up in Most Asset Classes (VIX, MOVE, FX)
Take a Close Look at Your Stress Test Assumptions: Implied Volatility is Up in Most Asset Classes (VIX, MOVE, FX)

With supply chain pressures, inflation, a possible recession, and a war, it is not surprising that options prices and implied volatility are up. It's like déjà vu all over again. As senior practitioners at Capital Market Risk Advisors (CMRA) with more than 30 years’ experience each, we’ve seen this movie before. Those who don’t learn from history are forced to repeat it.

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Naomi Niestress testing, Peter Niculescu, Leslie Rahl, VaR
Dr. Peter Niculescu to speak on lessons learned for quants and risk managers at The Quant Conference Digital
Dr. Peter Niculescu to speak on lessons learned for quants and risk managers at The Quant Conference Digital

We are pleased to announce that Peter Niculescu, partner of CMRA, has been invited as a keynote speaker at The Quant Conference Digital on November 6th, 2020. The Quant Conference is one of the largest quant conferences engaging the foremost thought leaders from finance and academia to discuss the future of the quantitative finance industry. The Quant Conference Digital is the first visual event and covers topics including “Legends of The Industry on The Role of AI in The Future of Investment Management", a keynote on "Risk manager versus virus", a panel on "The Age of Quant: Persistent Returns or Never-Ending Arms Race?" and much more.

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Naomi NieTheQuantConference, quantitativefinance, VaR, stress testing, Peter Niculescu
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