What Ails Market risk management – March 2008

http://judytoma.net/2014/02/) I wrote this article back in early 2008, before the financial crisis.  It appeared in Wilmott magazine in April/May 2008.

http://alconomics.com/obsessive-compulsive-disorder The article explores some of the shortcomings in the market risk analysis practice at most financial institutions.  It presents several ideas on how to improve the actual process of producing market risk numbers.  It is focused on the practical aspects of market risk managemen

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like this Looking back at this article in the post-2008 world,  it highlighted several issues that really came to light after the crisis – in particular the use of too short a historical lookback for VaR and stress tests, the importance of the outliers in a VaR PL distribution (now use of CVaR is common)  and the need to incorporate more risk factors.

The link to the article is below:

What ails market risk management