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Extreme Risk Budgeting: A New Approach to Risk Management

Presentation at Riskdata Workshop in London, 15 October 2009

By Olivier Le Marois, Raphael Douady

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“An investor should not be surprised by the behavior of its investments, and in particular should not experience bad surprises. It is technically speaking possible to minimize the proportion of bad surprises, with an adequate risk model.”

Global Investor Magazine