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Author Archives: Thomas Coleman
Personal Income and Consumption
Summary I have argued for some time that a robust recovery will occur after households adjust spending downwards. I believe that households must adjust spending down to reflect levels of lifetime wealth that are lower, after the global financial crises … Continue reading
A Practical Guide to Risk Management
Published by the Research Foundation of the CFA Institute in July 2011, this monograph challenges the conventional wisdom that “risk management” is or ever should be delegated to a separate department. Good managers have always known that managing risk is … Continue reading
A Guide to Duration, DV01, and Yield Curve Risk Transformations
Yield curve risk and sensitivities (DV01s) can be measured with respect to different variables: forward rates, par rates, zero yields, or others. This paper describes a simple method for transforming sensitivities between alternate representations and provides examples. The benefit of … Continue reading
Posted in Publications and Papers, Risk Management, Valuation and Modeling
Tagged Working Paper
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Probability, Expected Utility, and the Ellsberg Paradox
The Ellsberg paradox is often cited as evidence for unknowable “ambiguity” versus computable “risk”, and a refutation of expected utility maximization and “subjective” or “belief-type” probabilities. I have concluded the paradox is not convincing. The results can be explained by … Continue reading
Black Swans and Brown Turkeys
Black Swans and Brown Turkeys The term Black Swan was introduced by Taleb to denote an event not only unexpected but not even considered within the realm of possibility – something so unexpected that it completely changes the terms of … Continue reading
Posted in Musings, Risk Management
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Personal Income and Consumption
Summary September personal income figures released yesterday show an increase in spending relative to income. This is not good news because the higher spending means savings rates are down and household de-leveraging and spending adjustments are not proceeding. In my … Continue reading
Personal Income and Consumption
Summary July personal income figures released today show an increase in spending relative to income. This is not good news because the higher spending means savings rates are down and household de-leveraging and spending adjustments are not proceeding. Furthermore, revisions … Continue reading
Personal Income and Consumption
Summary Personal income figures released today are some of the best economic news to come out recently, contrary to what most commentators have claimed. The headlines report that spending and income has stagnated, but the real news is in the … Continue reading
Employment and Unemployment Flows
This is the summary of a 45-page paper (.pdf) available for download at SSRN SUMMARY Unemployment in the U.S. has risen dramatically since the start of the recession in December 2007, going from about 6.8 million people in May 2007 … Continue reading
Managing a Sovereign Wealth Fund: A View from Practitioners
This chapter, co-authored with D. Darcet and M. du Jeu, is in Economics of Sovereign Wealth Funds: Issues for Policymakers, ed. U. S. Das, A. Mazarei, H. van der Hoorn, published by the IMF.