What's Hot

Nassim Nicholas Taleb's blog, an inspiring read | Incerto


Saturday, December 29, 2012

Performance and VaR Together

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 reporting together.

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.

Thursday, December 20, 2012

Addressing Procyclicality

Basel III is actually proving to be quite an ordeal for both the banking community as well as the regulators and some senior members of the regulatory community, both in the UK and the US have made public statements to this fact.

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 I was pointed in the direction of a really good summary and publication on Procyclicality and I wanted to share this link here on the Causal Capital blog.

Monday, December 10, 2012

Can risk practices be shared?

There is a common belief among many enterprise risk managers that practices in operational risk can be applied to market or credit risk with ease. However, such thinking might be a little bit misplaced.

Let's take a look at this.