Big Picture: market risk and memory
Posted: Mon Jul 12, 2004 10:30 am
Flipping the pages of the July issue of Risk I found their quote of the month:
"Look at our revenues compared with our VAR and calculate our Sharpe ratio. If we were a hedge fund, we would be the best hedge fund in the history of the world by some huge multiple"
Attributed to the global head of risk (management) at Goldman Sachs in response to accusations that the firms prop trading has grown so large that Goldmans now resembles a hedge fund. The quote is part of an article which discusses the soaring VaR levels at the top tier financial services firms which resulted from, among other things, a shift towards prop trading as a revenue substitute.
Certainly I am having more casual industry discussions recently where I hear interbank market participants using phrases like "... we are seeing a return to the BT days of anything goes in search of revenue". Poor BT are now a distant memory. (Note: this refers to the market in general, not GS as a firm).
I cant help but get a mild impression that people have already forgotten the last Asian/Russian/LatAm 'banking' crisis.
"Look at our revenues compared with our VAR and calculate our Sharpe ratio. If we were a hedge fund, we would be the best hedge fund in the history of the world by some huge multiple"
Attributed to the global head of risk (management) at Goldman Sachs in response to accusations that the firms prop trading has grown so large that Goldmans now resembles a hedge fund. The quote is part of an article which discusses the soaring VaR levels at the top tier financial services firms which resulted from, among other things, a shift towards prop trading as a revenue substitute.
Certainly I am having more casual industry discussions recently where I hear interbank market participants using phrases like "... we are seeing a return to the BT days of anything goes in search of revenue". Poor BT are now a distant memory. (Note: this refers to the market in general, not GS as a firm).
I cant help but get a mild impression that people have already forgotten the last Asian/Russian/LatAm 'banking' crisis.