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RiskMinds – DB on reforming the financial markets

Hugo Banziger, CRO of Deutsche Bank, gave a presentation on his ideas on how best to reform “The Global Financial Architecture“.

He started by emphasing:

The economic imperative to resolve the current crisis for the benefit of all people, not just the financial markets.…
https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-11 13:37:422020-02-10 17:05:12RiskMinds – DB on reforming the financial markets

RiskMinds – insurers on the crisis, risk managers (and suicides…)

Panel debate amongst CROs from some of the big insurers and the FSA. Main points:

Summarised the current crisis as "A collective failure of imagination over the scenarios of what is possible by risk managers and regulators" Insurers are doing better than the banks in the current crisis, and this is due to learning from the bad experience insurers had in 2002 following the collapse of the dot com bubble.…
https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-11 13:24:052019-07-03 10:23:38RiskMinds – insurers on the crisis, risk managers (and suicides…)

RiskMinds – Model Risk and Variable Dependency Assumptions

Professor Paul Embrechts gave the opening talk this morning on quantitative risk management. Main points:

Paul thinks the largest recent failing is to take VaR for granted – he says that it is only a statistical estimate that has a range of values based upon what assumptions are made.…
https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-11 12:55:512020-02-11 10:52:46RiskMinds – Model Risk and Variable Dependency Assumptions

Stress-Testing Consultation by the FSA

The FSA published a consultation paper on stress-testing yesterday (click here to view).…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-11 05:39:002019-07-03 10:23:38Stress-Testing Consultation by the FSA

RiskMinds – VaR is not dead at Citi

Very good and refreshingly open presentation given by Alan Smillie of Citi Group on whether Value at Risk (VaR) has been discredited as a risk management tool (see earlier post for Taleb on VaR).

He started by generically describing VaR as being composed of both:

A statistical model of the market Pricing models/sensitivities to translate the market movements to P&L

He said that much of the recent losses/write downs at Citi are in ABS CDOs at levels of 10x/100x larger than those predicted by the VaR models that they use.…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-10 17:29:302020-02-10 17:11:09RiskMinds – VaR is not dead at Citi

RiskMinds – Tuesday Panel Debate

Panel debate this morning was interesting, speakers included Riccardo Rebanato of RBS, Bob Scanlon of Standard Chartered, Andreas Gottschling of DB and David Morgan of the UK regulator, the FSA. A few sections from the debate:

Current Crisis – Scanlon said that the current government guarantees offered to the banking industry will realistically have to be in place for 7 to 10 years, not the 3 years that is officially spoken of.…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-10 16:43:502019-07-03 10:23:38RiskMinds – Tuesday Panel Debate

RiskMinds – Robert Merton

Robert Merton gave the opening talk this morning on the subject of sovereign wealth funds…and immediately digressed into talking about the current credit crisis. As with Shiller yesterday, he is advocating more and better financial theory that has learnt from recent problems rather than saying the mathematics is invalid.…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-10 15:48:112020-02-10 17:12:00RiskMinds – Robert Merton

RiskMinds – from Blame to Bubble Indices…

I am attending the RiskMinds Conference in Geneva this week. Given what has happened over the past year, its somewhat intellectual name seems less appropriate than it once did, but I guess not many of us are smelling of roses on that point…

Seems to be very good attendance with the main hall full to overflowing for the first full day of the conference – unsurprisingly I think many people are looking for answers (from “what did I do wrong?”…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-09 22:42:192020-02-10 17:12:58RiskMinds – from Blame to Bubble Indices…

A couple of rants and a bit of humour…

Busy day on the FT yesterday. First Taleb continues his campaign against VaR and mainstream financial mathematics (see earlier post). Second the CDS market is damned by John Dizard. And on a lighter (but related) note, Jonathan Davis updates us on the behaviour of the fickle “Mr Market family”.…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-09 06:30:242020-02-11 10:59:22A couple of rants and a bit of humour…

Rules of Principles Based Regulation?

I went along to an event a few weeks ago organised by JWG-IT in which they talked about how they are involving 8 of the top banks (it was 11 but these are the times we live in…) in defining what they term as "Sturdy Breakwaters" to help financial institutions turn regulatory principles into template action plans that would (almost) ensure regulatory compliance.…

https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png 0 0 Brian Sentance https://www.xenomorph.com/wp-content/uploads/2019/07/logo-xeno.png Brian Sentance2008-12-08 22:34:372019-07-03 10:23:39Rules of Principles Based Regulation?

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