Yellen model proves incredible inflation predictor

The level of global uncertainty should be considered, and perhaps it can be measured. The International Monetary Fund has quantified an answer: an uncertainty index. To develop an “uncertainty index”, the IMF ‘text mined’ through quarterly Economist Intelligence Unit country reports, reviewing editions from the 1950’s to date. They then tallied the number of times…

Lending banks are often thought be the major holders of international exposure and therefore country risk. Non-bank financial institutions (NBFIs) — hedge funds, pension funds, private equity funds and others — often incur and accumulate significant country risk as well. Of timely importance, the recent failure of family office Archegos (see Case Examples in the…

For in-depth analysis, see attached paper by Phil Suttle.

EXPERIENCE AND THE HUMAN DIMENSION OF RISK One could reasonably ask why so much emphasis is placed on experience in risk estimation, modeling and management. While experience benefits people in any line of work, there is a good reason why the introduction of new technology, new sets of regulatory rules, or shinier forms of process…