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Editorial
Date: 5-19-2013   Visits: 715 The Risks of Oversimplifying Stress Test ModelsOne of the objections we've heard from banks' internal and external validators and the Federal Reserve during the last Comprehensive Capital Analysis and Review is that stress-testing models need to b...
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Date: 3-22-2013   Visits: 640 The Fed's Stress Tests Add Risk to the Financial SystemStress-testing got us out of the financial crisis in May 2009, and it has since become the crisis-management tool of choice in the banking industry. But how well is it serving the country?...
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Date: 3-19-2013   Visits: 683 Banks Should See Stress Tests as an Opportunity, Not a ChoreDone right, CCAR will motivate a Renaissance in enterprise risk assessment and reduce the fragility of current position risk and bank operations, while also allowing for meaningful experiments around ...
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Date: 3-19-2013   Visits: 662 For Investors, Stress-Testing Munis is Easier Said than DoneProfessional investors who mark to market need to know how their portfolios would perform under various interest-rate scenarios. Such "stress testing" is available in standard analytics syst...
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Date: 3-3-2013   Visits: 690 Little to be Gained from Applying 'Value at Risk' tactic Your report, "Banks' risk tactic under fire' raised important issues about bank capital but requires additional context.  It implies that large banks have routinely modified the time w...
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Date: 2-5-2013   Visits: 803 Risk Management Should Be Handled with CareIn the wake of the credit crisis, the teaching of risk management has become hugely controversial. Many blame the crisis on the failure of the mathematical modelling of market risk. This poses a signi...
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Date: 12-23-2012   Visits: 740 The Role Value At Risk (VaR) Played in the 2008 Financial CrisisIn the aftermath of the 2008 financial crisis, a myriad of factors leading to the calamity were extensively examined by various public and private entities. It became apparent that some factors had pl...
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Date: 11-5-2012   Visits: 758 Value at risk is a useful reminder of inherent randomnessSir, I think you missed an opportunity to inform and educate your readers with your characterisation of “value at risk” (VaR) in your report on Morgan Stanley....
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Date: 6-2-2012   Visits: 711 Stress Tests Don’t Have to Cause a Run on BanksU.S. and European banking regulators are conducting stress tests to determine whether financial institutions have enough capital to sustain losses as a result of adverse economic conditions.  A c...
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Date: 6-2-2012   Visits: 783 The JP Morgan Surprise and the Need for Risk Governance During a conference call on May 10, JP Morgan’s CEO disclosed a surprise loss of over $2 billion on its Chief Investment Office Portfolio, and at the same time revised previous d...
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Date: 5-12-2012   Visits: 694 Oops – there goes another Black Swan During MF Global’s debacle, the Trustee reported it transferred 10,000 commodities customer accounts representing $1.5 billion in collateral supporting three million open positions having ...
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Date: 1-12-2012   Visits: 849 Bankers’ Favorite Metrics Botch Liquidity Risk From the Phoenicians to the late 1970s, the top two risks in banking were always seen to be credit followed by liquidity. That changed with the marriage of high interest-rate volatility and comp...
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Date: 1-10-2012   Visits: 974 Apples v apples – a new way to measure riskIt is hardly surprising that the financial crisis and ongoing economic turmoil have caused some to question the value of capitalism. But in fact the crisis was not an indictment of capitalism. It shou...
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Date: 12-31-2011   Visits: 666 Author of ‘The Number That Killed Us’ Explains what Really Caused the Great Recession What if I told you that the true culprit behind the 2007-2008 credit crisis and, indirectly, the current Euro crisis was a mathematical model known as Value at Risk? And what if I told you that ...
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Date: 12-17-2011   Visits: 773 The Worst Measure of RiskWorld history repeatedly reminds us that the most we can lose is everything. Although approximate measures can serve us well, some measures are bound to backfire. So is “Value at Risk”, or...
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