June 25, 2018· 34 min
The Creator of VaR Explains How Large Banks Measure The Risk Of Their Own Portfolios
Orality
Model
67%
Oral-dominant (speeches, podcasts, storytelling)
Speaker Breakdown
HostTracy Alloway(1,183 words)
M:29%
HostJoe Weisenthal(945 words)
M:28%
GuestTill Guldimann(2,669 words)
M:28%
Oral Indicators
Agonistic34%
literally, completely, absolutely
Engagement67%
you, our, your
Memory Aids100%
listen, now, so
Repetition100%
risk (49x), it's (31x), like (29x)
Parallelism100%
And I'm Jill Weisenthal...., So, Joe, one thing we talk abo..., But we certainly have seen som...
Sound Patterns61%
32 question(s), alliteration: "markets move", alliteration: "barclays brief"
Formulaic Phrases4%
i mean
Literate Indicators
Hedging14%
quite, rather, might
Passive Voice12%
was invented, was invented, was approached
Abstract Nouns29%
investment, recommendation, volatility
Subordination11%
though, because, while
Sentence Length50%
Avg: 17.4 words/sentence
Word Complexity47%
investment, analyze, anticipate
Academic Markers0%
Impersonal Style33%
351 personal pronouns found
Descriptive Style93%
literally, completely, especially
Description
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.