is hilarious.
Bear Measurisk uses a robust analytic framework built around a Monte Carlo
simulation based Value-at-Risk (VaR) analysis and runs off a Lotus 123 spreadsheet
and an old IBM 286 PC. For corporations, Bear Measurisk offers an earnings-at-risk
model and a FAS 133 application to assist in calculating and reporting fair
value (mark-to-market) for derivative instruments and underlying (hedged)
exposure although when it comes to valuing our own CDO’s, we just make the
numbers up until we are found out. Like now.
A huge tip of the hat to Fintag,
and do go read the whole thing.
Oh, and by the way, that Euromoney award to Bear Stearns for Best
Risk Management? It’s real. The winner of the 2006
global best risk management house award was actually Deutsche Bank. And
the best investment
bank was Merrill Lynch. But Bear Stearns did win both best risk management
and best investment bank in North
America. This part rings ironic today:
Bear Stearns has emerged as best risk management house of the year for…
by acting as a real genuine broker-dealer – rather than a competing
hedge fund/giant prop desk masquerading as a broker-dealer.
Maybe Bear should have started believing its own hype. That might have prevented
it from starting its own hedge funds, and ending up in today’s almighty mess.