Hanging over the cliff

Posted on 17. août, 2010 by Steve Ohana in Weekly Focus

Last week, our global risk indicator flipped back to positive values after a two-week journey in negative territory. As a result, our cumulative risk indicator swings between confirming and invalidating the upward trend in risk aversion that has set off since April 2010. The former eventuality would pave the road to more spirals of defiance [...]

Financial crash probability has receded

Posted on 29. juil, 2010 by Jean Jacques Ohana in Weekly Focus

Banks stress tests have proved to be a non event. Everyone knew the results in advance: overall the solidity of the banking sector has been supposedly established and only seven banks out of 91 failed the exam. The stress tests were not too stringent as sovereign bonds held to maturity have been excluded from the [...]

The dead cat bounce before a crash in August?

Posted on 09. juil, 2010 by Jean Jacques Ohana in Weekly Focus

In the last two days, risky asset classes have rebounded sharply from their lows following the release of the European stress tests methodologies. The latter will assume a loss of 17% (relative to face value) on Greek bonds and 3% on Spanish Bonds. From January 2010, total return performances have been -16.5% on Greek Bonds [...]

Is the 2010 crisis over?

Posted on 22. juin, 2010 by Jean Jacques Ohana in Weekly Focus

The MSCI World, a gauge of equities in 24 developed markets, increased 0.2 percent for an eighth straight gain, the EUR/USD increased from 1.20 to 1.24, Spanish 10 years bonds yield tightened 40 bps to 4.6%. Similarly, an index of European banks sharply rose 8% from the start of the month.
As a matter of fact, [...]

The global asset deleveraging: is there any “safe haven” left?

Posted on 04. juin, 2010 by Jean Jacques Ohana in Weekly Focus

Despite the recent risky assets’ rebound, assets linked to the Chinese growth have remained very weak in the recent days: in particular, the Chinese stock market and base metals are now in a bearish trend. What is more worrying is the synchronization of the trend indicators across different asset classes as demonstrated by the [...]

Beyond VaR, the stress tests illusion

Posted on 25. jan, 2010 by Jean Jacques Ohana in Weekly Focus

The failure of VaR as a risk measure
The Value at Risk has been subject to growing and legitimate criticism among bankers and academics. Indeed, the VaR represents a quantile of the distribution of losses related to a financial asset or a global portfolio for a certain time horizon. For instance, the daily VaR 95% represents [...]