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CRD 4, Basel 3 - does that mean CRD wins?

May 3, 2012 by skinnercm   Comments (0)

I’ve been getting around a bit this week.  Having had long conversations with cybersecurity experts, I’ve also been having long conversations with treasurers.


They couldnât even organise a good time in a brewery

May 3, 2012 by MoneyScience   Comments (0)

One of my friends was lamenting his teenage daughter’s organisational skills the other day.  More accurately, he was moaning that daughter & friends have lots of grand plans that have dates attached.  Family diaries are reorganised to fit these plans, but a couple of days before every event it all gets cancelled.read more...

ROM Simulation: Applications to Stress Testing and VaR

May 3, 2012 by MoneyScience   Comments (0)

Abstract: Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio’s profit and loss (P&L) that is constructed from a single, multivariate historical sample on the portfolio’s risk factors. The implicit assumption is that history will repeat itself for certain over the forecast horizon. Until now,Continue reading

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Things worth reading: 3rd May 2012

May 3, 2012 by skinnercm   Comments (0)

Things we're reading today include ...


Blog Post: FINalternatives: Centaurus To Close As Arnold Retires

May 3, 2012 by MoneyScience   Comments (0)

John Arnold, one of the most successful commodity hedge fund managers of all time, will shut his Centaurus Capital after a remarkable decade.read more...

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Blog Post: Falkenblog: Inspirational Politicians

May 3, 2012 by MoneyScience   Comments (0)

I'm always a bit bemused by people who find politicians interesting people, as invariably their remarks are simply a party line, and even the stories and metaphors aren't even their own.  Consider this confession by Charles Wheelen:My first job out of college was writing speeches for the governor of Maine. Every spring [for graduations], I would offer extraordinary tidbits of wisdom to 22-year-olds—which was quite a feat given that I was 23 at the time.I just don't see the point in...

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