Risk management lessons from madoff fraud

Clauss, Pierre; Roncalli, Thierry; Weisang, Guillaume

doi:10.1108/s1569-3767(2009)0000010019

Cited by 21 publications

(6 citation statements)

References 15 publications

(22 reference statements)

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“…In almost every article and piece of commentary on the Madoff case, his impeccable reputation is mentioned (e.g., Clauss, Roncalli, and Weisang, 2009). Madoff definitely was above suspicion.…”

Section: Respected Perpetrators Are Above Suspicionmentioning

confidence: 99%

Walls of secrecy and silence

Bunt

2010

Criminology & Public Policy

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Research Summary Most analysts of the causes of the contemporary credit crunch have concluded that the supervising agencies failed in their duties. The same is true for studies of several major fraud scandals, including the Madoff affair and the Dutch construction fraud. The remedy seems immediately obvious: more and better regulation and supervision. However, this line of reasoning seems somewhat simplistic by ignoring the question of how illegal activities can remain hidden for many years from supervising agencies, victims, and bystanders. This research article argues that the problem also lies in the successful concealment of illegal activities by the perpetrators and in the presence of silence in their social environment. Policy Implications The cases analyzed in this article suggest that financial misconduct also could be controlled by breaking the conspiracies of silence. The strengthening of supervision is unlikely to be effective without simultaneous efforts to encourage people to speak out and to give them incentives to want to know and to tell the truth.

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Section: Respected Perpetrators Are Above Suspicionmentioning

confidence: 99%

Walls of secrecy and silence

Bunt

2010

Criminology & Public Policy

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“…39 The correlation estimate of ρ = 0.32 between the monthly returns from Fairfield Sentry and the S&P500 has been independently confirmed by Bernard and Boyle (2009). 40 Bernard and Boyle (2009); Clauss et al (2009). 41 The Fairfield Sentry Fund factsheet is available filed in court documents lodged in Massachusetts, available at www.sec.state.ma.us/sct/sctfairfield/Fairfield_Exhibits_24.pdf.…”

Section: Fairfield Sentry Fund and The Split-strike Conversionmentioning

confidence: 59%

“…41 The Fairfield Sentry Fund factsheet is available filed in court documents lodged in Massachusetts, available at www.sec.state.ma.us/sct/sctfairfield/Fairfield_Exhibits_24.pdf. 42 Bernard and Boyle (2009); Clauss et al (2009). Moreover, we argue that it is commonplace in hedge fund evaluation to provide return comparisons with the S&P500 Total Return Index as standard.…”

Section: Fairfield Sentry Fund and The Split-strike Conversionmentioning

confidence: 95%

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The Identification of Ponzi Schemes

Drew¹,

Drew²

2010

Griffith Law Review

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“…They show that following a similar "split-strike" strategy of options and stock investing would have generated much higher volatility over that time period. Clauss et al (2009) find that the feeder funds had Sharpe ratios of investment performance that lay well above the theoretical capital market line of portfolio theory. Those funds earned Sharpe ratios, or returns in excess of the risk-free rate divided by the funds' standard deviation, which were five times greater than the S&P 500.…”

Section: Introductionmentioning

confidence: 67%

Estimating JP Morgan Chase's Profits From the Madoff Deposits

Davis¹,

Wilson²

2011

Risk Manage Insurance Review

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JP Morgan Chase had deposits from Bernard L. Madoff's investors totaling $5.5 billion at one point in 2008. The Chase account was supposedly where most of the funds in his Ponzi scheme were deposited. Any large deposit can be a considerable source of profit to a bank. Assuming that the deposits returned the bank's net interest margin and grew at a random geometric rate, this article estimates that JP Morgan Chase generated $435 million in after-tax profits from this very large account over the course of 16 years. With JP Morgan Chase the target of pending lawsuits relating to the Madoff fraud, this article's methodology and results may be of interest to litigants, prosecutors, journalists, and academics.

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Risk management lessons from madoff fraud

Cited by 21 publications

References 15 publications

Walls of secrecy and silence

Walls of secrecy and silence

The Identification of Ponzi Schemes

Estimating JP Morgan Chase's Profits From the Madoff Deposits

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