Browse By

Category Archives: Risk


Operational risk management for banks

Operational Risk Operational Risk (OR) is the risk of direct and indirect loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk but excludes reputational and strategic risks. According to the Basel II accord, a


The fastest 11 years old in Karachi.

The Fastest 11 year olds in Karachi.   It didn’t look like a great start for the day.  It had been drizzling all night and the tartan track at the National Coaching Center was wet at 7:00 am in the morning.  While rain had brought


Building Copulas in Excel

Copulas – A quick introduction. If you build economic capital models for financial institutions, a common problem is creating a model for the Enterprise. At the simplest level this requires an ability to integrate risk profiles from market, credit and operational risk models.  Three different risk


Ebola market impact

Ebola market impact Ebola outbreak, which was originally confined to West Africa, now has reported positive cases across Europe and United States of America. In the past the outbreak has always been limited to impoverished Africa, this year’s panic was triggered by the deadly’s virus’s

BCBS 239

BCBS 239. The new BIS risk data aggregation, risk reporting standard

BCBS 239. Principles for effective risk data aggregation and risk reporting Improving banks’ ability to aggregate risk data will improve their ability to resolve and survive future financial crisis. In crisis mode a bank’s ability to determine its true exposure quickly aggregated across asset and

Bitcoin price series-1

Bitcoin bubbles – dissecting pre and post bubble datasets

Bitcoin Bubbles – A look at pre and post bubble price behavior In a visual history of Bitcoin bubbles we looked price cycles in Bitcoin history and identified three distinct timelines where a Bitcoin price surge was followed by a steep price decline. The most

Attributes of Economic Capital Model

Economic Capital for banking industry

Economic Capital – Everything you ever wanted to know but were afraid to ask. For the last seventeen years I have hated conversations with board members around economic capital. It is perfectly acceptable to discuss Market risk, Credit risk or interest rates mismatch in isolation


Calculating Economic Capital – Using Leverage ratio

So far we have presented two methods for estimating Economic Capital. The first uses the worst case change in Shareholders equity, the second the volatility of the same changes. The challenge with method one and two is that they use capital adequacy as the determining

Comodo SSL