24 January 2018
Elizabeth Lumley
Elizabeth Lumley

Elizabeth Lumley

Elizabeth Lumley - Girl, Disrupted

165Posts 696,795Views 173Comments
A post relating to this item from Finextra:

RiskMetrics up for sale - WSJ

27 January 2010  |  8696 views  |  0
New York financial analytics firm RiskMetrics Group has put itself up for sale, according to press reports.

The risk revolution that we all forgot

27 January 2010  |  3120 views  |  0

When the, then, chairman of JP Morgan ask his risk department to "give me a daily report on our risk exposure" in the late 80s, little did he know that the bank would be responsbile for changing the way risk is measured and preceived across the industry.

JP Morgan's RiskMetrics introduced Value-at-Risk, historical simulation, variance and covariance models and, of course Monte Carlo, to the world and risk management hasn't looked back since.

Now, however, the humble VaR is much maligned, although I say unfairly. VaR was only meant to be a tool, one of many tools, to report expected losses to regulators.

VaR, or any other risk measurement, was never meant to be a crystal ball - banks found out the hard way that the real-world events behind the fat tail (oil shocks, wars, house prices etc...) don't live in the precisie and cosy world of mathematics.

That said, I have my money on Bloomberg scooping up venerable RiskMetrics - if only to piss off Thomson Reuters.

TagsRisk & regulation

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job title Global FinTech Commentator
location Crayford
member since 2009
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Global FinTech commentator. Author of the Girl, Disrupted blog

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Member since 2007
165 posts173 comments

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