Sean SonniJul 20, 20183 minA Challenge from our FollowersIt's pretty incredible how fast you can get challenged as people try to find chinks in the armor of complete second order risk. Within a...
Sean SonniJul 18, 20184 minComplete Second Order Risk, a Full Portfolio SimulationAfter people have had time to digest the raw, theoretical value of full second order risk, the immediate question is "Sure you can find...
Sean SonniJun 29, 20184 minHow to Identify the Drivers of Nonlinear PnLPreviously, we have talked in a very generic sense about the issues with Gamma and how to identify the problems with current calculation...
Richard PlattMay 29, 20181 minYou got 99 problems why is gamma still one?Our recent research paper proves how the simplifying assumption used by almost every major financial institution can cause serious...