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An Introduction to Derivative Securities, Financial Markets, and Risk ManagementAdvanced Financial Risk Management, 2nd ed.

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Today’s blog is a request for help from our loyal readers. I am writing on behalf of my Harvard classmate and fellow director of Kamakura Corporation, Dean V. Vance Roley of the Shidler College of Business at the University of Hawaii.  We would like to call your attention to two very generous scholarships available to students from Japan for the Masters in Financial Engineering Program at the University of Hawaii. 

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Joseph Tibman’s The Murder of Lehman Brothers is a great complement to Lawrence G. McDonald’s A Colossal Failure of Common Sense.  This blog is a reflection on Lehman and the points that Joe Tibman raises.

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Our post on October 15, 2009 on glass boxes versus black boxes has prompted a lot of feedback.  Three loyal readers provide feedback today on the danger of black boxes in risk management, why they’ve persisted as long as they have, and how risk management fits in.

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Kamakura is very proud of the joint research in credit risk that we will be undertaking with Rand Merchant Bank of Johannesburg (for details, see the News section of www.kamakuraco.com).  This brief note emphasizes how important “relationship” is when a financial institution and a vendor work together, using the Rand Merchant Bank and Kamakura credit project as an example.

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One of the many lessons from the credit crisis is that those institutions and senior management teams who didn’t understand the risks they were taking got badly burned.  As obvious as that lesson is, there are many institutions and risk managers who continue to rely on “black box” models with no ability to determine how the model works, when it will fail, and when it will succeed.  This blog explains why the era of black boxes must end and why the “glass box” is the hiply stated “new normal.”

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