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Risk Thoughts

February 2015

The twelve most important pitfalls money managers must avoid when establishing risk oversight of the firm's investment management area.

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Code Snippets

February 2015

Newly added to the Code Snippets page - Excel macros to calulate 16 different measures of robust correlation. Also includes 1,000 simulated pairs of two correlated normal random variables for testing and comparison of the robust correlation measures.

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Useful Websites

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Market Data

FRED Data - A database maintained by the St. Louis Federal Reserve containing data at all frequencies on economic indicators, short-term interest rates, exchange rates and more.
EOD Data - A wide range of end-of-day (EOD) financial market data on stocks, ETFs, options, indices, mutual funds, futures and foreign exchange.
CME DataMine - Pricing and trading data for all contracts traded on the CME Group exchanges (futures and options contracts).
CQG Data Factory - Extensive commercial database of both end-of-day and intra-day historical market and exchange data.

Academic Articles

SSRN - The Social Science Research Network maintains an eLibrary of hundreds of thousands of academic papers, both abstracts and full-text articles. They also supervise numerous academic networks to bring together professionals from various fields.
AFA - The American Finance Association publishes the Journal of Finance and is a key academic organization in the field of finance.

Professional Societies

GARP - The Global Association of Risk Professionals. Offers the FRM and ERP certification examinations for risk and energy market professionals.
PRMIA - The Professional Risk Managers' International Association. They offer the examination to earn the Professional Risk Manager (PRM) designation.
CFA Institute - Organization offers the Chartered Financial Analyst (CFA) examination leading to the CFA designation for investment professionals.