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Date: 7-30-2013   Visits: 595 Lessons Learned From The Fed Stress TestsWith Fed stress testing requirements set to extend to midsize banks, what are the key lessons learned since these tests were implemented four years ago for the largest banks, and what can be done bett...
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Date: 7-30-2013   Visits: 946 US Banking Agencies Seek Comment on Dodd-Frank Act Stress Test Guidance for Medium-sized FirmsThree federal bank regulatory agencies are seeking comment on proposed guidance describing supervisory expectations for stress tests conducted by financial companies with total consolidated assets bet...
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Date: 7-23-2013   Visits: 1135 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: 1079 The Problem with VaR-Driven Allocations...my problem with the Tail-Risk Parity idea....
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Date: 7-13-2013   Visits: 976 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: 1030 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: 984 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: 1156 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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Date: 6-12-2013   Visits: 736 Who is Responsible for Stress Testing?As more institutions implement loan portfolio stress testing, an issue that could cause problems is overarching responsibility. Who in the bank owns stress testing? This problem can be traced to the ...
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Date: 6-12-2013   Visits: 662 What to Look for in a Board's Risk DirectorAs JPMorgan Chase & Co. reportedly looks to shake up the board of directors’ risk committee— per hints at the bank’s annual shareholder meeting—a group of risk governance p...
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Date: 6-10-2013   Visits: 650 Where Is Risk Hiding Now? Pandas, Tail Risks, and Safe HavensChanging the risk culture of some organizations is about as easy as getting captive pandas to breed. Risk strategies within organizations and in the field of policy and regulation can actually lead to...
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Date: 6-8-2013   Visits: 549 Risk & Portfolio Construction: Don’t let the tails wag the dogStrategic asset allocation accounts for the largest fraction of the factors that affect a portfolio’s realised return and volatility over the long run. However, in this article we show that a ...
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Date: 6-4-2013   Visits: 682 FSOC Tabs AIG, Prudential, GE Capital For Stricter OversightThe Financial Stability Oversight Council, which arose out of the 2008 crisis, has designated which non-bank firms are part of the Too Big To Fail set and will be subject to additional oversight. Amer...
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Date: 6-4-2013   Visits: 5647 AIG Statement Regarding Notice from Financial Stability Oversight CouncilNEW YORK--(BUSINESS WIRE)--Jun. 3, 2013-- American International Group, Inc. (NYSE: AIG) announced today that it has received notice from the U.S. Treasury that the Financial Stability Oversight Counc...
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Date: 6-1-2013   Visits: 543 Fed’s Pianalto Sees Room to Expand Stress TestsA U.S. Federal Reserve official said on Friday that there is scope to extend bank stress tests beyond the companies already involved in the process, while adding that the central bank’s new fina...
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