Missing the Mark
“In the spring a young man’s fancy lightly turns to thoughts of buying a house,” Morty said, as he put the latest issue of the Financial Analysts Journal on my desk. We don’t often paraphrase Tennyson in the office, so this caught my attention. “You’re not thinking of moving again, are you?” I said. “No, but I always keep my eye on the market,” he said. “You should check out what these economists are saying.” So I did. First I read the FHFA working paper, by the team of Alexander Bogin, William Doerner, and William Larson. “Missing the Mark: Mortgage […]
Wanted: Business Expertise
Artificial intelligence can be expensive and tricky to implement. Is it worth the trouble? Two organizations recently decided to pose the question to those who were working in financial institutions. “Due to budget constraints, a company might not always be able to apply artificial intelligence. But, to those who can, the benefits have become clear,” said Mahdi Amri, Partner and National AI Services Leader, Canada at Omnia, which is the artificial intelligence practice at Deloitte. On January 24, 2019, Amri was the second of two panellists who discussed early results of a joint survey by SAS and the Global Association […]
Operationalizing A.I.
How pervasive is the use of artificial intelligence in the field of financial risk management? What are the key challenges in AI implementation over the next two to three years? These issues were examined in early 2019 via the webinar, Operationalizing AI and Risk in Banking, sponsored by the Global Association of Risk Professionals (GARP). “We found exceptionally high rates of AI usage among survey respondents,” said Katherine Taylor, Senior Data Scientist at the software company SAS. On January 24, 2019, Taylor was the first of two panellists who presented a “sneak peek” at a joint survey by SAS and […]
Not Just the Modelling
The estimation and reporting of credit impairment at banks has led to a brand-new set of guidelines around the current expected credit loss (CECL). What’s a beleaguered banker to do? “For an effective CECL transition, preparation is key,” said Samrah Kazmi, Advisory Industry Consultant for Risk Solutions at SAS. She was the third and final speaker at a webinar titled “CECL: Managing Through the Implementation Headwinds” sponsored by the Global Association of Risk Professionals (GARP) on September 12, 2018. “Most banks think CECL is just about the modelling,” she said, “but it’s also data, systems, and processes.” Begin by identifying the stakeholders, she advised, […]
CECL Headwinds
The time for banks to implement the new guidelines on credit impairment is at hand. How prepared is your team? A summary of issues around the current expected credit loss (CECL) can be found in the webinar titled “CECL: Managing Through the Implementation Headwinds” sponsored by the Global Association of Risk Professionals (GARP) on September 12, 2018. “The life of loan loss expectation is a big factor in CECL,” said Michael Gullette, senior vice-president, Tax and Accounting, at the American Bankers Association. He was the first of three speakers at the GARP webinar. Loan loss expectation (LOL) includes loan prepayments and troubled debt restructuring […]
Shifting Energy Markets
How are strategic priorities in energy markets shifting? What are the risk management implications? “Geopolitical risks have worsened and technological innovation is causing more disruption,” said Medy Agami, senior partner and vice-chairman at Ben-Roz and Associates and co-founder of the consulting firm Opimas. He was the sole presenter of the webinar “Energy Market Strategy and Risk Playbook: How to prosper amid a wave of disruptive innovation, geopolitical uncertainty, market volatility & exponentially growing risk landscape in 2018 & beyond” sponsored by the Global Association of Risk Professionals (GARP) on August 7, 2018. “There are five main forces acting on fundamentally shifting markets,” […]
Recent SEC Enforcement
Given the trends that are emerging for enforcement by the U.S. Securities and Exchange Commission (SEC), what’s a risk manager to do? “Risk managers should use data and data analytics to identify patterns,” said Steven Hilfer, Managing Director in the Disputes & Investigations practice, Capital Markets at Navigant. He was the fourth and final speaker in a four-part webinar panel titled “SEC 2018 Enforcement Trends” sponsored by the Global Association of Risk Professionals (GARP) on July 25, 2018. He argued that the SEC is plunging ahead in the area of data analytics, and it expects companies “to identify patterns prior to being […]
An Insider’s View
“Quite frankly, I think some have underestimated Clayton,” said Ken Joseph, Managing Director, Disputes and Investigations practice, at Duff & Phelps. “There is a de-emphasis on some areas and re-prioritization of other areas—but he is still focused on wrongdoing.” Joseph was referring to Jay Clayton, the recently appointed chair of the U.S. Securities and Exchange Commission (SEC). Ken Joseph was the second speaker in a four-part webinar panel titled “SEC 2018 Enforcement Trends” sponsored by the Global Association of Risk Professionals (GARP) on July 25, 2018. He is also former Head of the Securities and Exchange Commission’s New York Regional Office Investment […]
A Tale of Two Funds
There are helpful and unhelpful models for determining risk-based profit attribution, according to Michael B. Miller, founder and CEO, Northstar Risk. This is part 2 of his explanation about how to attribute financial performance, given at a webinar sponsored by the Global Association of Risk Professionals on June 20, 2018. Miller gave an example of two funds. Fund A contains both long and short assets, is market neutral and generates positive alpha. Fund B is a macro fund that is market dependent and whose manager is correct 54 percent of the time. The returns of Funds A and B look very […]
Risk-Based Profit Attribution
“Even the best portfolio managers have bad years due to macroeconomic factors beyond their control,” said Michael B. Miller, founder and CEO, Northstar Risk, to an audience of financial risk professionals. This is Part 1 of his talk about how to attribute performance for financial management at a webinar sponsored by the Global Association of Risk Professionals on June 20, 2018. “We tend to view measurement of risk and performance as separate tasks, but performance can only be fully understood by taking risk into account,” Miller said. Performance is always evaluated relative to something else, such as “the market”—which commonly taken […]