Daily Archives: Nov 20, 2020 at 07:48 am EST

Fat Tails Everywhere? Profiling Extreme Returns: Part IV

One of the biggest challenges for managing tail-risk expectations is the limitation on clarity imposed by history. For most markets, the post-World War II era provides the primary if not the only dataset. But expanding the opportunity set into some asset classes further reduces the available track record. Think junk bonds and emerging markets, for instance. How can we solve this challenge? Simulations are the first choice in the toolkit.
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Macro Briefing: 20 November 2020

CDC asks Americans to stay home on Thanksgiving: NYT
Treasury Sec. asks Fed to return unused emergency lending funds: PLTC
Georgia recount reaffirms Biden win in the state: AP
Afghanistan braces for acceleration of drawdown in US troops: WSJ
World trade rebounded but is vulnerable to resurgent coronavirus: WTO
High-profile bond defaults in China worry investors: CNBC
Early Christmas shopping lifted UK retail sales in Oct: FT
US existing home sales rose in Oct–highest level since 2006: CNBC
US jobless claims surprised analysts and accelerated last week: CNBC