Brief notes from presentation by Klaus Duellmann, Deutsche Bundesbank on A New Methodology for Allocating Systemic Risk:Drivers:- the level of tail risk- Higher exposure to the asset correlation(more later)
Read more…whats new with CCAR:- Forward looking- Timing coordination across BHCs- Well defined policies on capital actions- Stress testing integration
Read more…whats new with CCAR:- Forward looking- Timing coordination across BHCs- Well defined policies on capital actions- Stress testing integration
Read more…whats new with CCAR:- Forward looking- Timing coordination across BHCs- Well defined policies on capital actions- Stress testing integration
Read more…A "snapshot" of talk by Gary Wilhite, Wells Fargo, on Keeping Capital Models in Perspective:
How Should Capital Models Deal With Uncertainty & Assumption Mismatches?
Why are we interested in this question?
– Affects capital requirement
– Helps us underst
A "snapshot" of talk on A New Methodology for Allocating Systemic Risk
Klaus Düllmann and Natalia Puzanova of Deutsche Bundesbank:
Introduction:
• A coherent full-allocation method (Euler allocation) for attributing
systemic risk to individual banks
• De
A "snapshot" of talk by James C. Allison, Manager, Global Risk, ConocoPhillips, on RISK APPETITE
Ensuring Risk Appetite Is Properly Articulated, Embedded, Understood & Respected
Throughout The Organization & Is Fully Integrated Into Strategic Planning
A "snapshot" of Robert Jarrow's talk on Detecting Asset Price Bubbles in Real Time
Detecting Bubbles
Three ways to detect in real time:
1. modeling the fundamental value (not practical),
2. modeling the process S (successful use is outlined below),
and
3.
The 3rd Annual RiskMinds USA Conference starts today. I will be attending this conference on behalf of the GlobalRisk community and will report back with key observations and discussions following the conference or before -the days and evenings are j
Read more…June 17, 2011 - RiskMinds conference - Notes from presentation “A Foundation For Stress Testing” by Dave Williams, CFA, Managing Director, Solutions Architects, S&P Valuation and Risk Strategies
“... Factoring In Macroeconomic Events
Calculate macr
Read more…June 13, 2011 - RiskMinds conference - Notes from presentation on Implementing Economic Capital for Effective Decision Making by Albert J. Schulman, VP, Enterprise Risk and Capital Modeling at Nation Wide.
“A Few Simple Questions
June 15, 2011 - RiskMinds conference - Notes from presentation on Setting Risk Appetite in the New Regulatory Environment by Joseph V Rizzi:
"...Risk Appetite as a Process Not a Number…
June 16, 2011 - RiskMinds conference - Notes from presentation by Phillipa Girling on the Implications of the recent / upcoming changes for operational risk
Ensuring Pillar 2 Adds Value:
Update on Basel III:
Today after emphasizing that the views in the presentation are his and not those of the Federal Reserve Bank of New York, Marc Saidenberg gave a presentation entitled “Basel III – Inside the New Provisions for Liquidity Management
Read more…