PICNIC is a leading European platform for innovation and creativity. We function as an incubator and accelerator for game changing ideas, concepts, products and services. Through our activities, we address the mega trends of our time and explore how to creatively apply technology in order to meet business, social and environmental challenges.
Motherlode made this film about the latest event - having been invited to speak about story and economic innovation.
Researchers have known for over 50 years that markets are not random walks. The number of 7 standard deviation market returns is 10 million times higher than the normal distribution suggests. Yet the majority of financial institutions continue to rely on this assumption for risk management. The bailouts may have spared the system from the Crisis, but they also spared the flawed models that led to the Crisis itself.
At ARC, we focus on causality not correlation. Current best practices in risk management work only when correlations are stable. At turning points historical relationships between assets break down. The only way to effectively anticipate future risk factors is by understanding root macroeconomic causes.
We look across global markets for issuers with the highest sensitivity to the estimated risk factors. From there, we look for extremes in valuation, concentration and leverage. We then create optimized structures using a filtered universe of actively traded derivatives instruments.