Bubble VaR, a countercyclical value-at-risk approach Ahead of RiskMinds Asia later this year, Max Wong, RBS Global Banking & Markets, shares with us his research on VaR.  Max Wong will be speaking at at RiskMinds Asia, 11-13 September at The Marina Bay Sands, Singapore. VaR and financial crises It is a great irony that our advancement in risk management has created a...

The regulatory machine is percolating, now what? Global thought leaders ring in with their opinions from Ri$kMinds Written by Clark Abrahams There were many perspectives and ideas shared at the recent Ri$kMinds event in Geneva.  Here are a couple of the notable quotes from regulatory and banking executives: Financial innovation: “We need a more formal process to distinguish healthy innovation versus arbitrage“ ~ Jose Maria Roldan, Banco...

Hersh Shefrin talks to Richard Barfield at RiskMinds 2011 Richard Barfield, Director, PwC UK, kindly took some time out to interview Hersh Shefrin, Mario L. Belotti Professor, Department of Finance, Santa Clara University for us at RiskMinds 2011. Watch as Hersh Shefrin discusses the importance of Risk Management Culture, in particular having strong business processes, transparency and investing in IT to improve information sharing....

More thoughts from the RiskMinds experts…in 30 seconds. What is the biggest challenge that risk managers need to solve now? Chng Sok Hui – Understanding the limitations of models; developing mechanisms to identify “risks not captured”; keeping a balanced perspective between the earnings and value perspectives Scott Aguais – Bank-wide data quality and integration of Risk and Finance. Sebastian Fritz-Morgenthal – Making sure...

Views from the RiskMinds Experts…in 30 Seconds. What are you currently working on? Chng Sok Hui – More than I can list! Balance sheet strategy, capital management, accounting policy & regulatory changes, investor relations and yes, budgets. Scott Aguais – Re-developing the suite of credit risk models and implementing them in an improved credit risk architecture, designing and implementing a PIT/TTC ratings approach and refining...

RATINGS ARBITRAGE AND STRUCTURED PRODUCTS ABSTRACT This paper studies the criteria used by rating agencies when they rate structured products. We assume that some investors assign a value to a product that is monotonic in the credit rating. This leads to a necessary condition for there to be no arbitrage. The criterion used by S&P and Fitch does not satisfy the condition while that used by Moody’s does.

Pricing Contingent Convertibles: A Derivatives Approach By Jan De Spiegeleer and Wim Schoutens Ahead of this year’s RiskMinds 2011 event, Wim Schoutens, Professor in Financial Engineering at the Catholic University of Leuven, shares his unpublished research on Contingent Capital and CoCo Bonds. Wim will also be discussing this topic at the event in a CoCo’s workshop being held on Thursday the...

Highlights from RiskMinds U.S 2011 Thank you to everyone who attended this year’s RiskMinds U.S 2011 event held in Boston. This video takes a look back at some of the highlights and testimonials from people who were there.

Spotlight Series: Stephen Allen advises us to stick to our principles. Stephen Allen, Head Of Risk Management Group, Macquarie Group took part in ‘The CRO Thinktank. Risk Culture & Ethics. What systems & processes can enhance the risk culture in every financial institution to make sure things are different this time?’ alongside Morten Friis, CRO, RBC. This was chaired By Richard Evans, CRO, Institutional Clients Group, CITI...

Spotlight Series: Richard Reid states that one size will definitely not fit all. Richard Reid, Director Of Research, International Centre for Financial Regulation, gave a talk entitled ‘Regulation And Optimal Financial Structure & Growth.’ In his interview with Dominique Bourrat, Richard suggests that in the wake of any financial crisis, there has been a knee jerk regulatory response but now we need to look at practical implementation. One...