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VaR as a Percentile

In this white paper Dr. Richard Diamond expands on the concept of Value at Risk (VAR) from a formula based on the critical value, to its true definition of being a property of the joint probability distribution of risk factors.

Richard Diamond
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Volcker Rule - A Whale with a Cigar

Edward Talisse discusses what the implications could mean for the impending Volcker Rule and what the outcome will be on fixed income and foreign exchange trading desks.

Edward Talisse
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What I Knew and When I Knew It - Part 2

Mathematician, Ed Thorp, looks back to the creation of the world's first market-neutral hedge fund and pre-empting Black-Scholes.

Ed Thorp