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In my previous entry on August 13, I discussed what we can imagine to be a solid foundation to the Risk and Finance initiatives. Obviously, it is not just about the data model and that is the first p...
In my previous blog, I addressed the new requirements of the new directive of risk data aggregation and risk reporting from the Basel Committee. In many of the banks I meet, the risk function tends t...
Risk Managers and Risk Architects were enjoying a slow beginning to the year when the Basel Committee decided to release a new directive of risk data aggregation and risk reporting. Sure enough, no or...
So much has been written about the models being the source of all evils in the risk management space. Surely the breaking down of correlation matrices was responsible to a large extent in the erroneou...