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A presentation that looks at how to apply Value at Risk in a trading environment alongside other performance reports.
A lot of market risk analysts often question how they can compare risk with return or the relevance of tracking error in the context of value at risk and performance calculations.
In this short blog posting, I link to a presentation which explains how performance reporting, risk measurement and tracking error may be delivered side-by-side.
The presentation can be found at this [L
If you're reading this today, the world did not come to an abrupt end on December 21, 2012.
There were no fiery asteroids falling from the sky, no volcanoes erupting in Hong Kong, no tsunamis swallowing New York City or massive earthquakes violently forcing the continents back into a Pangean supercontinent..
For all those who can read Dutch and are interested in technical analysis, we offer this trading update prepared by LOEF Technische Analysis BV.
The detailed research report is to download v
Really good paper on procyclicality and the problems with Basel III countercycle buffers
Perhaps one of the biggest issues facing banks with Basel III is how to address Procyclicality, especially if the bank is not running an Advanced IRB credit risk framework. Actually, just obtaining information about the different accepted practices on how to measure Procyclicality within a lending portfolio isn't so easy.
Just the other day however, I was pointed in the direction of a really good summary and p
I just read an article in a newsletter published by the Macquarie University natural hazard research group, Risk Frontiers, discussing the case of the six Italian scientists and a government official who were found guilty of manslaughter for "failing to adequately communicate the level of risk" regarding an earthquake swarm. Their conclusion - "A need for separation between the roles of scientists and that of authorities responsible for civil protection is strikingly clear. Scientists need to be
1.Define a single risk appetite taxonomy across the organizations, such that
everyone understands and reports risks in a common language. This
would help in board level comparative analyses across products,
processes, business lines and other organizational elements.
2. Break down organizational silos to create an integrated risk appetite
information repository. This would aid in the sharing of information
across the organization, increasing its capability to aggregate risk appetite
information and en
Through file transfer on email. These files are in ASCII. They are used by WordPad.
They are registred as private, public or hybrid (with pictures).
Through visualization one may see parts of data.
Data comes in, volume, variety and velocity.
My workshops may introduce you in Storing and Querying Big Data in Hadoop Distributed File Systems.
Use of subconscious mind and how to use dreams for being astray with overwhelming data.
Using night for insight.
Easy data insight at www.beyond.com/todorc
My ateliers (workshops) are about the application of probabilitiy theory in brand new calculation re-education.
Also, improving measures of dimension from quality time and cost, to other dimensions.
These workshops concentrate on a calculator reintroduced as a new mean of approximation and data therapy.
I saw many similar data, on different support
When all is said and done, regulatory requirements comes down to data management. Legislation like Sarbanes-Oxley and Dodd-Frank have ushered in the necessity of adopting a data governance program to align information accountabilities amongst stakeholders, and to foster intelligent collaboration between the business and technology.
“Data governance is a set of processes that ensures that important data assets are formally managed throughout the enterprise. Data governance ensures that data can be
You want a risk management program that conforms to a particular STANDARD. Standards usually present highly organized risk management systems. But that is not what is needed for many of the threats that our firms face. What We really need is a risk management program that fits our threats.
- If your threats are severe and intense, you need a highly cooperative risk management system.
- If your threats are highly complex, you need a highly organized risk management system.
- If your threats are highly
By Tom Riesack and Ute Herzog
In the ‘new normal’ of highly regulated financial markets, corporate treasurers are feeling the reverberations in their daily activities. Corporates are using swaps to hedge their commercial risks, stemming from currency, interest and commodity price exposure. To mitigate such risks treasurers have a whole arsenal of instruments ready to deploy such as swaps, forwards and options as well as individually structured products.
Under current bilateral trading agreements,
See this article on my blog. Includes an opinion about the number of risks faced by a typical enterprise. A list of 115 possible risks is also referenced in the blog posting.
http://blog.sms-ga.com/the-battle-between-risks-and-risk-management/
Tom O'Connor
Salt Marsh Solutions, Inc.
Fellow Risk Professionals,
I recently told a GRC tale in nine weekly episodes. The thrust of this GRC case study on a bank’s misadventures is that an enterprise GRC solution can play a vital role in putting a well-validated and efficient process in place, so that even when management, the Board and regulators are looking in the opposite direction, they can have confidence that any significant issues will be brought to their attention and handled in a timely manner so as to minimize any negative
Liquidity has moved further and further up banking executives’ agendas thanks to the growing industry focus as well as regulatory demands for more liquidity to be available in banks. Following the 2008 crash, liquidity has established itself as a risk concern for banks like never before – the failure of Northern Rock was essentially one of liquidity not funds. As a result, liquidity management strategies continue to be at the forefront of any strategic risk plan.
A fundamental challenge for banks
This Post is the first in a set of two Posts looking at PPACA - Sometimes referred to as Obamcare or ACA.
1) This first Post is to provide background on PPACA with Links to valuable information to answer questions for Brokers, Employers and Carriers.
2) The second Post will provide a Workable, Efficient, and Cost-Effective Strategy for Brokers and Employers to deal with PPACA/Obamacare for the 2013 Plan Year and Beyond. The time to get started is now! This will be Posted on Friday after your T
The aftermath of Sandy continues here on the East Coast – especially in New Jersey, New York and Connecticut area. Yesterday many victims were also negatively affected by a Nor’Easter storm that halted the work and help of many volunteers. This storm brought 60 mph winds and 4-13 inches of snow, record breaking numbers for this time of the year.
Both storms however, have not diminished or weakened the spirits of the people in the these areas. On contrary – it has made them stronger.
One of the gr
It was supposed to be a conspiracy of epic proportions. The U.S. government knew about the threats in Benghazi and did nothing, even when pleas for help came from the Consulate. No other major news organization would follow the story. The CIA called for back-up but was told to “stand down”. U.S. government officials said it was a mob action following the release of a third-rate anti-Islam internet movie, and then changed their story. Could it be any clearer? Why wasn’t anyone doing anything abou
Is China really going to crack-down on corruption? If you believe all the buzz in the U.S. reporting on China’s national political convention (the 18th Communist Party Conference) outgoing party chair and current President Hu Jintao is finally getting serious. In oratory second only to Castro’s multi-hour monologues (minus the Cuban’s firery delivery) Hu went on for a good 100 minutes and made an ominous warning over corruption spoiling the party and threatening the state.
Full post here: http:/
Click on the link below to access the survey
