At our July breakfast, Anthony Asher and James Hickey spoke on Asymmetric risks. Key messages were:
- asymmetric risks should not be managed using black box models
- it is important to keep in mind that risk neutral models rely on artificial “statistical distributions”, and that real world models do not easily provide market prices
- risk neutral models are normally right for valuation purposes, but risk neutral probabilities cannot be used for determining capital
- there are particular systematic risks if investment guarantees become widespread. Investment guarantees do not obviously give investors much more value than a balanced portfolio – especially in the long run.
Click on the PDF attachment below to open the presentation.
For more information, contact Anthony Asher on +61 (0) 2 9322 5010.
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