Blog
Notes on risk, regulation and engineering from the work we do.
Three layers that run through every organization
Technology, the legal framework and models are not departments: they are layers that cut across every department. Almost every important problem touches all three at once.
Why a normal distribution understates your VaR
A 99% VaR computed under normality and under a Student-t with four degrees of freedom can differ by more than a percentage point of the portfolio. That gap is a policy decision, not a detail.
Four controls that make a deployment defensible
Branch policy, independent review, automated checks and an audit trail. None of them slow a team down as much as an unexplained production change does.