Stress Testing: Part 1. Balance Numbers and Narrative
“Uncertainty is a fundamental part of business. Major shifts occur without warning, triggered by a single event, or combination of unrelated, contemporaneous events,” said Sanjiv Talwar, Managing Director, Risk Capital & Stress Testing at Bank of Montreal. He was addressing a webinar audience on May 7, 2013 as the first speaker in a panel organized by the Global Association of Risk Professionals (GARP). He summarized the categorization of uncertainty by Courtney et al. in “Strategy Under Uncertainty”, Harvard Business Review. There is a variety of tools available to help manage the uncertainty, Talwar noted: option evaluation, game theory, pattern recognition, […]
Libor Fallout: Part 1. The Stomach Ache During the Heart Attack
The emerging scandal around the setting of LIBOR (the London Interbank Offered Rate) prompted GARP (the Global Association of Risk Professionals) to convene a panel of three experts to inform its members about the background and implications of the LIBOR fraud. On December 20, 2012, the first presenter at the GARP webinar was Amy Poster, Strategic Adviser at Iron Harbor Capital Management. She described the background and key facts. Calling it the “$800 trillion scandal,” Poster said that these events touched many derivatives markets, various consumer debt instruments such as credit card loans, and 100 percent of the sub-prime market. […]
Risk-Adjusted Performance Measurement. Part 1: Mind the Expectations
“The guiding principles for risk control,” said Carl Bacon, CIPM, Chairman of Statpro, and former Director of Risk Control and Performance at F&C Investment Management Ltd, “are integration and confidence in data.” Bacon was in Toronto on September 17, 2012 to deliver a one-day workshop on risk-adjusted performance measurement to about a dozen members of the CFA Society Toronto as part of the Society’s continuing education program. He is the author of Practical Portfolio Performance Measurement & Attribution, which went into its second edition in 2008. Performance measurement is the calculation of portfolio return for purposes of comparison against a […]