2008 Confessions of a Risk Manager
Posting this because its resonates with market conditions in 2021.
Key points to note:
2007 started feeling riskless
Risk departments relied on ratings and regulators
Risk management has a natural conflict of interest with maximum return
Lessons are dont neglect bottom up security selection in risk management, respect liquidity risk and the importance of risk management
For Balmoral clients - from inception to end March 2021 the Balmoral Fund has a beta to global equities around 0.38. In recent years we have been very careful with risks we have taken for reasons we have been very transparent about.