Value at Risk (VaR) is often criticised. This is especially the case from those who don't use it, no surprise there and I label such propaganda as statistical xenophobia by the masses.
In this post we look at the problems with VaR and what can be done to improve this measure of potential downside.
Basel III includes a new standard for Liquidity Risk which seems to be tripping up a few risk analysts attempting to reach this complex requirement.
In this post, we briefly look at the possible outcomes from a poorly managed liquidity risk program and the types of initiatives banks need to consider to meet the Basel III "International framework for liquidity risk measurement, standards and monitoring."
This post contains a presentation which can be downloaded
For many risk managers, the recent financial meltdown has left them questioning the veryessence of risk modeling, used by many since the 1990s to measure their firm’sfinancial risk. Investment firms have traditionally relied on fantasticallycomplex mathematical models for measuring the associated risk in their variousportfolios, primarily to reassure investors that all is well. However, theworldwide events of the past 18 months have, arguably, left the reputation of riskmodeling in tatters. Here
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