LQG 22/11/22 Hybrid / BlackRock – The $17 Billion Question: Spectacular Failures in Risk Management – Dan DiBartolomeo

The $17 Billion Question: Spectacular Failures in Risk Management

Seminar by Dan diBartolomeo

22nd November 2022 – In-Person and On-Line – Hybrid

The LQG is very grateful to BlackRock – for hosting this in-person and on-line hybrid LQG.

In last year’s Archegos fund debacle five major investment banks lost an aggregate of over $11 Billion on failed margin calls.  This was a spectacular failure in risk management at what are purportedly the most sophisticated financial institutions in the world.   A similarly horrific outcome arose a few years ago at JP Morgan during the so-called “London Whale” incident (loss $6.5 Billion).  

While these events are popularly ascribed to “operational risks from procedural failures”, a deeper analysis of published investigative documents suggests that common flaws in the analysis of both market risk and liquidity contributed greatly to the severity of the negative outcomes despite the availability of appropriate analytical methods.  

The final part of the presentation will be devoted to describing a clear analytical “shortcut” that has become pervasive across the asset management industry.   This error has the potential to be the next cause of similarly dire results for certain typical fund portfolios.

 

Dan diBartolomeo

President and founder 
Northfield Information Services, Inc. 

Mr. diBartolomeo is President and founder of Northfield Information Services, Inc.  Based in Boston since 1986, Northfield develops quantitative models of financial markets.  
Dan sits on boards of numerous industry organizations include IAQF and CQA, and is a director and past president of the Boston Economic Club.  
His publication record includes fifty books, book chapters and research journal articles.  
In addition, Dan has been a Visiting Professor at Brunel University, and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts.  
He became editor in chief of the Journal of Asset Management at the start of 2019.

Dan diBartolomeo