In aftermath of the Financial Crisis, some risk management practitioners advocate wider adoption of Bayesian inference to replace Value-at-Risk (VaR) models for minimizing risk failures (Borison & Hamm, 2010). They claim reliance of Bayesian inference on subjective judgment, the key limitation...

The current report resulted from an engagement with a Goldman Sachs alumnus Hedge Fund with $400 Billion-$500 Billion AUM at the time of the engagement. Given the overriding roles of Liquidity and Volatility in the structural Market Microstructure shifts impacting Alpha of Hedge Fund Portfolios...

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...