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Wednesday, September 26, 2012

How many controls are too many?

In a recent discussion on the G31000 Linkedin forum, a member put forward an interesting question. 

How many controls are too many?

Can an organisation literally have too many controls?

Tuesday, September 25, 2012

Cluster Events

The world of risk management is continually evolving but where is the next developmental phase for the practice of risk theory?

In my opinion, one area which offers great opportunity is the relatively undiscovered work around event predictability. Let's be real of course, there is no way to predict the future but it might be nice to understand the shape of that future.

In this blog, we review the use of the Extensible Markov Model for shaping event clusters.

Wednesday, September 19, 2012

PV01 vs Historical VaR

The world of fixed income is very much impacted by PV01, yet Market Risk analysts hang onto historical Value at Risk as if it is the be all for measuring potential downside. In my opinion this is a bit busted and I will explain why in this short blog post.

Thursday, September 6, 2012

Understanding risk appetite

Over the last week, there have been a lot of discussions on risk appetite in the G31000 forum and while ISO 31000 refers to risk appetite as risk attitude, broadly the concept is not fully appreciated by many risk analysts in the market place.

In this blog we look at risk appetite; what it is, where it has been used and why it is important.