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Risk Management Beyond VaR
Company: The EDP Audit Control, and Security Newsletter
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: July
Resource Link: Click here to open
Pages: 1-27
Download Count: 0
View Count: 1843
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 8-15-2013
Publisher: Administrator
After more than twenty years of detailed development of risk measurement and management techniques, it is essential to ask why the Global Financial Crisis took so many of us by surprise. A central reason is that distributional analysis, which is the foundation for concepts such as value-at-risk, was too often treated as a fully comprehensive basis for measuring risk. In fact, short-term market volatility is one important aspect of risk, but it may actually be a misleading indicator of a system's vulnerability to major systemic crises. This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future.
(volume 48, number 1)
Rowe, David Sign in to follow this author
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