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Date: 10-21-2014   Visits: 1862 Best Practice Model Validation for Stress-Testing, Value at Risk, and Credit VARLast Friday, the Federal Reserve decried banks’ reliance on poor risk models as one of the major problems that has been exposed by the stress testing process under the Fed’s Comprehensive Capital Anal...
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Date: 10-17-2014   Visits: 1350 Why Bank Boards Should Set Risk AppetitesSince the global crisis the authorities have been focusing on how to make banks safer, with changes to capital and liquidity requirements. Corporate governance of banks and the wider risk culture are ...
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Date: 9-23-2014   Visits: 1652 What Stress Testing is NotWith banks getting ready for the year-end regulatory stress testing, it is worth looking at what stress testing is and, more importantly, what it is not....
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Date: 5-29-2014   Visits: 888 Financial Networks Key to Understanding Systemic RiskWith financial markets around the world so interconnected, the analysis of “networks” in the financial system would help deepen understanding of systemic risk and is key to preventing future financial...
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Date: 4-16-2014   Visits: 783 Data: The Tail That Wags the Stress TestIndependent research firm Aite Group finds that the presence of poor data quality in a bank's stress tests could possibly lead to adverse findings by the Fed about the bank's ability to accurately mon...
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Date: 4-14-2014   Visits: 861 Model Risk and Financial CharlatanismOne of the hot buzzwords in financial risk management these days is “Model Risk”, as if this concept is in some way new. Unfortunately, it’s only recently – a full 6 years after the onset of the Globa...
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Date: 4-11-2014   Visits: 863 What Usain Bolt can teach banks about financial risk - See more at: http://www.economist.com/blogs/eBut whether bankers will remember that reality can be worse than expected is a different question. Expected shortfall is an improvement on VaR; it is not a crystal ball....
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Date: 3-18-2014   Visits: 656 Stress Testing And Interest Rate Risk Models: A Multi-Factor Stress Testing ExampleMajor banks around the world are required to use multi-factor interest rate models by regulators like the Bank for International Settlements and the Federal Reserve.We use a 9-factor interest rate mod...
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Date: 3-17-2014   Visits: 582 On eve of stress tests, Fed asks banks for more infoFORTUNE -- The Federal Reserve may not be satisfied with some of the results of the annual bank stress tests. The first indication of how the banks did on those tests is set to be released on Thursda...
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Date: 7-23-2013   Visits: 822 CCAR Stress Testing: The Devil Lies in The Data?So much has been written about the models being the source of all evils in the risk management space. Surely the breaking down of correlation matrices was responsible to a large extent in the erroneou...
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Date: 7-20-2013   Visits: 765 The Problem with VaR-Driven Allocations...my problem with the Tail-Risk Parity idea....
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Date: 7-13-2013   Visits: 679 Reengineering Risk Management from the Ground up I propose a radical rethinking and redesign of risk management instead. To drive a stake into the heart of this problem, I recommend the following: 1. Reorganize to manage risk. 2...
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Date: 6-27-2013   Visits: 730 What Makes an Effective Chief Risk OfficerThe necessary attributes of an effective chief risk officer (CRO), with special emphasis in three areas:...
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Date: 6-26-2013   Visits: 680 How to Treat Side Effects of Strong Risk ManagementWhile risk management may make bankers feel better, it does not necessarily make the banking system safer....
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Date: 6-22-2013   Visits: 865 Value at Risk, what you should know, overview and detailPresentation to the CFA Institute. The brief was to provide an introduction to Value at Risk, why it is used in capital markets, how is it calculated, strengths and weaknesses. ...
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