Business Commons^™

Black Swans And Retirement Strategies: Is “Buy And Hold Best”?, Barry Doyle, Robert Mefford, Nicholas Tay

Finance

The recent market crash which has led to as much as a 47% drop in the value of the S&P500 index has made some of us wonder if there is a cost effective way for us to hedge our retirement portfolios against such a drastic loss. Our objective is to investigate empirically the tradeoffs that will arise from using a protective put strategy for hedging retirement portfolios over an investment horizon that is long enough to be comparable to the average holding period for retirement portfolios

What Financial Risk Managers Can Learn From Six Sigma Quality Programs, Barry Doyle, Robert Mefford, Nicholas Tay

Finance

As the financial crisis of 2008 has revealed, there are some flaws in the models used by financial firms to assess risk. Credit, volatility, and liquidity risk were all inadequately modeled by supposedly sophisticated financial institutions employing dozens of financial engineers with advanced degrees. It is now clear that some of the underlying assumptions of the statistical models utilized were seriously flawed, and interactive and systemic effects were improperly modeled. Correcting these modeling flaws is one approach to preventing a reoccurrence. However, another approach is suggested by Six Sigma quality programs used in manufacturing and service industries. Some basic tenets …

A General, But Readily Adaptable Model Of Information System Risk, Steven Alter, Susan A. Sherer

Business Analytics and Information Systems

This article is the first of two whose goal is to advance the discussion of IS risk by addressing limitations of the current IS risk literature. These limitations include:

• inconsistent or unclear definitions of risk,
• limited applicability of risk models,
• frequent omission of the temporal nature of risk, and
• lack of an easily communicated organizing framework for risk factors.

This article presents a general, but broadly adaptable model of system-related risk. The companion article, Volume 14, Article 2[Sherer and Alter, 2004] focuses on IS risk factors and how these factors can be organized.

This article starts by identifying criteria for …