Well someone had to say it …

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“The concept of risk free no longer exists” — UBS CEO Sergio Ermotti.

Well, someone had to say it. Until recently risk free meant risk free, but now there are several flavours of risk free.

This does, of course, present all sorts of problems for our quantitative models. And don’t think America is getting free pass in all of this; Even before the failure of the super committee, America’s credit rating was coming under serious scrutiny and now is more imperilled than ever.

Ermotti had something else of note to say on the subject: “The only thing I’d treat today as a zero- risk-weighted asset is Swiss government bonds.” . Only problem – the Swiss Franc is hardly cheap these days.

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