RSS feedRisk management
’UBS rogue trade – the wider costs
RBC’s highly rated banks team have already taken a stab at estimating the impact of UBS’s rogue trade.
Loss in context of numbers
Assuming the loss is not revised at CHF1.7bn this is 3.4% of tangible book value end Q2 2011 and CHF0.35ps.
The calm before the (volatility) storm
We ♥ this note from Bank of America Merrill Lynch’s Ruslan Bikbov and Priya Misra.
It’s on a subject dear to our own hearts here on FT Alphaville — the curious case of persistently low volatility and the idea that it might be masking systemic risk.
‘Copulas have an image problem’
Never were truer words spoken of a mathematical formula.
Out on Friday — some über-Geeky weekend reading for those (still?) interested in financial risk management. It comes courtesy of The Joint Forum,
The phantom securities which haunt the BoE, quantified
Some moral hazard maths du jour, courtesy of the Bank of England.
In the depths of the financial crisis, the Old Lady began expanding the bank collateral eligible for use at its various liquidity operations,
Managing the vampire squid, one scenario at a time
Referring to Goldman Sachs as a vampire squid, the graphic description evoked by journalist Matt Taibbi for a Rolling Stone profile of the mega-bank last summer, has become somewhat passé.
But the bank is still battling the godzilla-like imagery evoked by Taibbi — alongside derivatives and AIG-bailout controversies.
Chasing the fat tail
Alternate title: Building a better Monte Carlo model.
Risk managers and investors will, of course, be familiar with Monte Carlo simulations — which are used in finance to value potential loan losses and things like portfolio risk or derivatives.
Musings on regulation and risk, from the Morgan Stanley CFO
They are helpfully contained in this note by UBS analyst Glenn Schorr, who met up with the Morgan Stanley man for a tête à tête over the bank’s outlook.
Here are some excerpts:
We recently met with Colm Kelleher,
Leverage ratios are the new VaR?
What happens when you get Rick Bookstaber and Nassim Nicholas Taleb in the same room, to talk about one of the most controversial risk measures of the financial crisis?
They (almost) agree.
The two were speaking in front of the US House of Representatives Committee on Science & Technology,
On Goldman’s fat tail risk
Financial blog Zero Hedge points us in the direction of a risk management presentation from Goldman Sachs.
The majority of slides are typical management-type stuff. There are some impressive Venn diagrams and graphics of interlocked puzzle pieces,