Value at Risk
27 views | +0 today
Follow
Value at Risk
Risk Management
Your new post is loading...
Your new post is loading...
Scooped by Barry Schachter
Scoop.it!

Value at Risk J C Hull Model Building Example 2

I downloaded a VaR example from John C Hull's webage: http://www-2.rotman.utoronto.ca/~hull/RMFI3e/VaRExample/index.html I apply a methodology ...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Credit Value at Risk Calculation on Spotfire

Calculate Value at Risk using spotfire and conduct what if analysis on a subset of the data.
more...
No comment yet.
Rescooped by Barry Schachter from Networks and Graphs
Scoop.it!

Eigencentrality based on dissimilarity measures reveals central nodes in complex networks

Eigencentrality based on dissimilarity measures reveals central nodes in complex networks | Value at Risk | Scoop.it
One of the most important problems in complex network’s theory is the location of the entities that are essential or have a main role within the network.

Via Bernard Ryefield
Barry Schachter's insight:

Interesting refinement of centrality measure such that more importance is given to centrality of neighboring nodes with fewer mutual connections. For example, the logic suggests that  a neighbor B of node A is not important to the centrality of A even if B has many connections, when most of the nodes that B shares edges with already share edges with A. 

more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

[1510.01593] Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk

Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk. http://t.co/bbS2KoXxDy
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Think Tank - The Geneva Association: Is a capital surcharge the right instrument to control systemic risk in insurance?

Think Tank - The Geneva Association: Is a capital surcharge the right instrument to control systemic risk in insurance? | Value at Risk | Scoop.it
In this extract taken from The Geneva Papers on Risk and Insurance, Mr Christian Thimann from AXA Group explains why the three concepts for controlling systemic risk in banks - capital, leverage and loss absorption capacity - are not suitable for...
more...
No comment yet.
Rescooped by Barry Schachter from Complex World
Scoop.it!

Controlling extreme events on complex networks

Controlling extreme events on complex networks | Value at Risk | Scoop.it
Extreme events, a type of collective behavior in complex networked dynamical systems, often can have catastrophic consequences. To develop effective strategies to control extreme events is of fundamental importance and practical interest. Utilizing transportation dynamics on complex networks as a prototypical setting, we find that making the network [ldquo]mobile[rdquo] can effectively suppress extreme events. A striking, resonance-like phenomenon is uncovered, where an optimal degree of mobility exists for which the probability of extreme events is minimized. We derive an analytic theory to understand the mechanism of control at a detailed and quantitative level, and validate the theory numerically. Implications of our finding to current areas such as cybersecurity are discussed.

Via Claudia Mihai
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Marco Avellaneda talks Systemic Risk

RiskMinds Americas - http://www.informaglobalevents.com/ytrmusvidep Marco Avellaneda, Managing Partner, Finance Concepts, talks to RiskMinds TV about Systemic Risk, and what counterparties...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Nobel Laureate Robert Engle on VaR, Systemic Risk, and Liquidity - CFA Institute Enterprising Investor (blog)

Nobel Laureate Robert Engle on VaR, Systemic Risk, and Liquidity - CFA Institute Enterprising Investor (blog) | Value at Risk | Scoop.it
Nobel Laureate Robert Engle on VaR, Systemic Risk, and Liquidity CFA Institute Enterprising Investor (blog) In this installment, we will cover the development of the ARCH model, the global financial crisis, systemic risk, and forecasting liquidity...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Franklin Allen - Systemic Risk (full lecture) - IRMC 2014

A lecture of Franklin Allen of the University of Pennsylvania about the origins of systemic risk and countering systemic risk through banking regulation and other means during plenary session...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

4 Years In, Debate Rages Over Dodd-Frank's Systemic Risk Tag - Law360 (subscription)

4 Years In, Debate Rages Over Dodd-Frank's Systemic Risk Tag - Law360 (subscription) | Value at Risk | Scoop.it
4 Years In, Debate Rages Over Dodd-Frank's Systemic Risk Tag Law360 (subscription) Law360, New York (July 22, 2014, 9:52 PM ET) -- One of the Dodd-Frank Act's key aims was preventing the failure of a huge bank or other financial institution from...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

IMF cuts 2014 global outlook, eyes market volatility risk - MarketWatch

IMF cuts 2014 global outlook, eyes market volatility risk - MarketWatch | Value at Risk | Scoop.it
Reuters
IMF cuts 2014 global outlook, eyes market volatility risk
MarketWatch
But there was also less optimism about growth in several emerging markets. The IMF global growth forecast for 2015 remains at 4%.
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Value at Risk J C Hull Model Building Example 1

I downloaded a VaR example from John C Hull's webage: http://www-2.rotman.utoronto.ca/~hull/RMFI3e/VaRExample/index.html I apply a methodology ...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Graph data powered financial risk management

Graph data powered financial risk management | Value at Risk | Scoop.it
  Take a look at our new video illustrating some of the techniques we use for applying graph technology and network analysis techniques to financial risk management challenges for hedge funds, banks and asset managers.
Barry Schachter's insight:

Title is a bit over-reaching, but the use case is interesting.

more...
No comment yet.
Rescooped by Barry Schachter from Papers
Scoop.it!

Detecting global bridges in networks

The identification of nodes occupying important positions in a network structure is crucial for the understanding of the associated real-world system. Usually, betweenness centrality is used to evaluate a node capacity to connect different graph regions. However, we argue here that this measure is not adapted for that task, as it gives equal weight to "local" centers (i.e. nodes of high degree central to a single region) and to "global" bridges, which connect different communities. This distinction is important as the roles of such nodes are different in terms of the local and global organisation of the network structure. In this paper we propose a decomposition of betweenness centrality into two terms, one highlighting the local contributions and the other the global ones. We call the latter bridgeness centrality and show that it is capable to specifically spot out global bridges. In addition, we introduce an effective algorithmic implementation of this measure and demonstrate its capability to identify global bridges in air transportation and scientific collaboration networks.

 

Detecting global bridges in networks
Pablo Jensen, Matteo Morini, Marton Karsai, Tommaso Venturini, Alessandro Vespignani, Mathieu Jacomy, Jean-Philippe Cointet, Pierre Merckle, Eric Fleury

http://arxiv.org/abs/1509.08295


Via Complexity Digest
Barry Schachter's insight:

financial networks, too!

more...
Liz Rykert's curator insight, October 11, 2015 10:55 AM

This paper looks useful from the perspective of finding and supporting key nodes who help the whole network connect. 

Scooped by Barry Schachter
Scoop.it!

Global Financial Stability Report (GFSR): Risks Rotating to Emerging Markets

Despite improvements in advanced economies, emerging market vulnerabilities remain elevated, risk appetite has fallen, and market liquidity risks are higher, ...
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

COMMENTARY: Three steps to more resilient risk-management systems – DTCC risk ... - Reuters Blogs (blog)

COMMENTARY: Three steps to more resilient risk-management systems – DTCC risk ... - Reuters Blogs (blog) | Value at Risk | Scoop.it
There is no one-size-fits-all approach to evolving the risk management function to meet these new risk challenges, but there are certain fundamental steps that firms can take to gain a more holistic view of the risks they face and strengthen their...
more...
No comment yet.
Rescooped by Barry Schachter from Strategy and Competitive Intelligence by Bonnie Hohhof
Scoop.it!

Is risk management a component of competitive advantage?

Is risk management a component of competitive advantage? | Value at Risk | Scoop.it

But McGrath’s arguments do not add up to a break with traditional strategic analysis, no more than Porter’s did. Instead, she is building upon it. Like Porter, McGrath finds it difficult to develop the escape velocity to leave the SWOT behind. Just as planet Porter orbits the SWOT, comet McGrath finds itself sucked into its gravitational pull.. Like Porter, McGrath treats risk and uncertainty as an underlying context for strategy. Like Porter, she uses ideas and arguments that could easily be restated in terms consistent with a SWOT analysis. What is interesting is that McGrath’s rationale for going beyond Porter is that business is more complex, risky and uncertain than it was in his day..


Via Bonnie Hohhof
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

California Policy Center | Systemic Market Risk is Worse Now Than in 2008

The Bear's Lair: Systemic risk is worse now than in 2008 http://t.co/vW3uSTZAG8 #capolicy #caeconomy #capolitics #catcot
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

A Systematic Approach to Measures of Systemic Risk by James Ming Chen :: SSRN

A Systematic Approach to Measures of Systemic Risk by James Ming Chen :: SSRN | Value at Risk | Scoop.it
The failure of individual firms in the banking industry poses a unique threat to the entire economy.
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

MetLife nears systemic risk label - reports - Business News Americas

MetLife nears systemic risk label - reports - Business News Americas | Value at Risk | Scoop.it
MetLife nears systemic risk label - reports
Business News Americas
MetLife nears systemic risk label - reports. By Business News Americas staff reporter - Wednesday, July 23, 2014.
more...
No comment yet.
Scooped by Barry Schachter
Scoop.it!

Managing systemic risk - The Economic Times

Managing systemic risk - The Economic Times | Value at Risk | Scoop.it
Enterprise risk management (ERM) has become a crucial component of contemporary corporate governance reforms, with an abundance of principles. (RT @itelligence_fr: La gestion des risques est-elle prise en compte dans votre entreprise ?
more...
No comment yet.
Rescooped by Barry Schachter from Papers
Scoop.it!

Cyclic Game Dynamics Driven by Iterated Reasoning

Cyclic Game Dynamics Driven by Iterated Reasoning | Value at Risk | Scoop.it

Recent theories from complexity science argue that complex dynamics are ubiquitous in social and economic systems. These claims emerge from the analysis of individually simple agents whose collective behavior is surprisingly complicated. However, economists have argued that iterated reasoning–what you think I think you think–will suppress complex dynamics by stabilizing or accelerating convergence to Nash equilibrium. We report stable and efficient periodic behavior in human groups playing the Mod Game, a multi-player game similar to Rock-Paper-Scissors. The game rewards subjects for thinking exactly one step ahead of others in their group. Groups that play this game exhibit cycles that are inconsistent with any fixed-point solution concept. These cycles are driven by a “hopping” behavior that is consistent with other accounts of iterated reasoning: agents are constrained to about two steps of iterated reasoning and learn an additional one-half step with each session. If higher-order reasoning can be complicit in complex emergent dynamics, then cyclic and chaotic patterns may be endogenous features of real-world social and economic systems.

 

Frey S, Goldstone RL (2013) Cyclic Game Dynamics Driven by Iterated Reasoning. PLoS ONE 8(2): e56416. http://dx.doi.org/10.1371/journal.pone.0056416


Via Complexity Digest
Barry Schachter's insight:

This paper provides additional evidence that financial risk management can benefit by incorporating more insights from the area of complex systems into various aspects of risk modeling and control.

more...
No comment yet.