<General> Testing new blog
After about 3 years, this old blog will retire and we try out typo. All new entries will appear here.
If you want to submit a story for the risk-blog Editors to peer at it, and perhaps post it for all to share and enjoy, email it to "blog at approximity.com". Subscribe to email updates.
After about 3 years, this old blog will retire and we try out typo. All new entries will appear here.
Frank Romeike coacht Unternehmen zum Thema Risiko Management seit mehr als 10 Jahren. Fuer die Creditreform schreibt er ein Tagebuch.
Am 13.7 haben wir gemeinsam die Risk Management Association e.V. gegründet. Pressemeldung.
Die Approximity GmbH wird den RMA unterstützen! Die ersten Veranstaltungen beginnen bereits in diesem Sommer.
Sun's CEO knows he made many mistakes. Is it too late to recover?
Very long and interesting story from BusinesWeek.
BY THE pool, overlooking the wine-dark waters of the Aegean, the champagne flowed as the cream of the world's shipping industry gathered to watch the fireworks at one of many lavish parties thrown during Posidonia, a recent trade show. Thanks to the greatest boom the industry has seen since the closure of the Suez Canal in 1967, the mood was buoyant. But strong winds blew ash from the fireworks on to the guests, driving the many women in low-cut dresses to shelter under the jackets of obliging males. link
The New York City Police Dept. is awash in data. Every year, it's flooded with 12 million emergency calls and hundreds of thousands of arrest records. Over the last 10 years, it has mined that data to help reduce crime by a stunning 70%. link Armin: I want a big wall of plasma screens to monitor my stockmarket data :-).
Very interesting article about computer simulation, analysis and risk management in Formula One. link
Fundamental rule of efficient graphical design: minimize the ratio of ink-to-data
The three fundamental elements of bad graphical display are these: Data Ambiguity, Data Distortion, and Data Distraction. link
Make sure you check out these classic bibles about envisioning information by Tufte:
Envisioning Information and The Visual Display of Quantitative InformationCollection of previously unpublished papers; link
Strategic asset allocation for foreign exchange reserves by Pierre Cardon (BIS) and Joachim Coche (ECB)
Thoughts on investment guidelines for institutions with special liquidity and capital preservation requirements by Bluford H. Putnam (Bayesian Edge Technology & Solutions, Ltd.)
A framework for strategic foreign reserves risk management by Stijn Claessens (University of Amsterdam) and Jerome Kreuser (The Riskontrol Group GmbH)
Asset allocation for central banks: optimally combining liquidity, duration, currency and non-government risk by Stephen J. Fisher and Min C. Lie (JP Morgan Fleming Asset Management)
Reaching for yield: selected issues for reserves managers by Eli M. Remolona (BIS) and Martijn A. Schriijvers (De Nederlandsche Bank)
The risk of diversification by Peter Ferket and Machiel Zwanenburg (Robeco Asset Management)
Currency reserve management by dual benchmark optimisation by Andreas Gintschel and Bernd Scherer (Deutsche Asset Management)
Risk systems in central bank reserves management by Mark Dwyer (DST International) and John Nugée (State Street Global Advisors)
Corporate bonds in central bank reserves portfolios: a strategic asset allocation perspective by Roberts L. Grava (Latvijas Banka)
10 Setting counterparty credit limits for the reserves portfolio by Srichander Ramaswamy (BIS)
Multi-factor risk analysis of bond portfolios by Lev Dynkin and Jay Hyman (Lehman Brothers)
Managing market risks: a balance sheet approach by Bert Boertje and Han van der Hoorn (De Nederlandsche Bank)
Ex post risk attribution in a value-at-risk framework by Eugen Puschkarski (Oesterreichische Nationalbank)
Ruin theory revisited: stochastic models for operational risks by Paul Embrechts (ETHZ), Roger Kaufmann (ETHZ) and Gennady Samorodnitsky (Cornell University)
Risk management practices at the ECB by Ciarán Rogers (ECB)
Management of currency distribution and duration by Karel Bauer, Michal Koblas, Ladislav Mochan and Jan Schmidt (Cv eská národní banka)
Foreign reserves risk management in Hong Kong by Clement Ho (Hong Kong Monetary Authority)
Performance attribution analysis a homemade solution by Alojz Simicak and Michal Zajac (Národná banka Slovenska)
Performance attribution for fixed income portfolios in Central Bank of Brazil international reserves management by Antonio Francisco de Almeida da Silva Junior (Central Bank of Brazil)
Management of the international reserve liquidity portfolio by David Delgado Ruiz, Pedro Martínez Somoza, Eneira Osorio Yánez and Reinaldo Pabón Chwoschtschinsky (Central Bank of Venezuela)
Determining neutral duration in the Bank of Israels dollar portfolio by Janet Assouline (Bank of Israel)
THERE are few beasts in the financial jungle more curious than the market in uncertainty. Traders buy and sell uncertainty as readily as if it were something tangible, like pork bellies or Treasury bonds. Strange though it may seem, it is no exaggeration to say that the price of just about every risky asset in the world depends in part on investors' perceptions about the price of uncertainty. It is precisely because investors appear so certain about the future that the prices of so many assets are now so high. The opposite holds too, of course. If investors became less certain, those prices would fall. link
This Gallery of Data Visualization displays some examples of the Best and Worst of Statistical Graphics, with the view that the contrast may be useful, inform current practice, and provide some pointers to both historical and current work. We go from what is arguably the best statistical graphic ever drawn, to the current record-holder for the worst. link
A 100 page doc by W. Haerdle, T. Kleinow and G. Stahl.
It includes some copulas to work out VaR.
Thx to Valerie for the link.
Ouch! There are too many sharks in the water. The sharks have to think a bit now .. they make the market too efficient. Well, no wonder the MBO-market is so busy right now invading Europe.
Worth reading -- like every week.
I came by accident again over this excellent article by William C. Burns, which everybody doing any statistical analysis/datamining ought to be forced to read.
The analysis of human resources data typically involves the use of computer databases that were constructed to process transactions. Their purpose normally centers on administration and recordkeeping. Thus the variables that are available for analysis are not necessarily the ones that would be chosen as the ideal set of variables given the purposes of the analysis. A side effect is that in many cases critical analysis variables may be missing. This can lead to "spurious correlations," a common and serious interpretation fallacy. For example, suppose that the critical variable is correlated with race, age, or gender. Thus any other variable that correlates with the critical variable will probably also be correlated with race, age, or gender. These correlations are spurious because their primary cause is the missing critical variable. Nonetheless these spurious correlations are at times used as indicators of discrimination. The purpose of this paper is to illustrate the widespread occurrence of spurious correlations.
My favorite example is to do the following:
1. Get data on all the fires in San Francisco for the last ten years.
2. Correlate the number of fire engines at each fire and the damages in dollars at each fire.
Note the significant relationship between number of fire engines and the amount of damage. Conclude that fire engines cause the damage.
The reason that I like this example is that the conclusion is so absurd. Anyone will quickly recognize that both variables result from and are correlated with the overall size of the fire. However, many spurious correlations do not seem absurd and some seem compelling.
Business leaders cope with risk; it's part of the job. And its the reason companies buy insurance, create contingency plans and check the safety of their products and equipment.
But some risks are bigger than others. September 11 proved that. So what do todays corporate titans worry about most? And how prepared are they to face those fears? The answers are suggested in a worldwide Pricewaterhouse Coopers survey of almost 1,400 CEOs released today in Davosand some are less predictable than they seem.
A CEOs biggest concern: increased competition. About 63 percent said they considered it a threat. Their next worry is overregulation (59 percent), followed by fears of currency fluctuations (48 percent.) Global terrorism was ranked a mere fifth (40 percent) among major threats to business growthafter anxiety over the loss of key talent (45 percent.) There is no science of comparative threats, reports the study, but it is clear enough that the risk of abrupt business interruptions caused by terrorist events is somewhat less concerning to CEOs than the long-term and often politically difficult issues surrounding currencies. link
from the study: Enterprise Risk Management Creates Value: Commitment to Implementation is Crucial link
In its business form, Risk Management is an all pervasive thing in the running of a business. The idea is to run your business in such a way that you expose it to the least risk you can in the circumstances, thus ensuring that your business lives a long time.
We feel this transfers really nicely to motorcycling. In motorcycle risk management, the idea is that you ride in a way that minimises risks in order that you get the most, in terms of time and enjoyment, out of riding.
You'll notice I said "minimising" risks. This does not mean that you do not take risks when riding. Riding a motorcycle is inherently risky in itself and if you don't want to expose yourself to any risk you buy a Volvo (with optional motorcycle target crosshairs). The major factor in risk management is exactly *how much* risk you are exposed to when riding.
The first step in implementing motorcycle risk management is to establish your own risk level. Some riders will not ride in the rain, others will ride in snow. Some will not ride at over the speed limit, others will wheelie down a busy main street.
So the degree of risk one is prepared to accept differs from rider to rider. That's a personal decision and fine with us *as long* as the level of risk accepted in that risk management decision does not place other people or property at physical, economic, or emotional risk.
From where we stand, this means that your risk management/risk level decision must be based on a reasonable degree of safety - you should place yourself at no more risk than the average prudent motorcyclist would.
Having established the risk level for you, you then adjust your riding around it.
This means that your decision-making is much more focused. Instead of just saying that you will never ride faster than a certain speed, you ensure that you never ride faster than is safe. This means that if you have set your personal speed limit at, say, 100kmh, you don't get fooled into riding that speed in adverse conditions, because "that is the speed limit".
You also do things such as dispense with cornering lines and, instead, develop cornering plans (see our book "Cornering -going around the bend on a motorcycle" if you don't know what I mean).
You develop pre-planned responses for various situations and events. You develop the hardest of all skills to master - self control.
Risk Management is actually a fascinating riding skill and applies to an astonishing variety of riding decisions, ranging from how you corner, through what protective clothing you wear, to how you handle other motorists.
It's a very hard one to learn and for that reason would be a very hard one to teach at a course without boring the pants of many people.
>I work for ThoughtWorks[?] (TW) and would be happy to tell you about it. TW >was founded on the idea that if you put together the best and brightest >people and give them a challenging environment then only great things can >happen. This has been and continues to be the main criteria by which we >hire people and is the one of the reasons we are so successful. As such, >the recruitment process is a series of flaming hurdles, but well worth it. >I just can't bring myself to leave the company even after 5 years :-)
From Richard Grasso's $188 million paycheck to unethical--and possibly criminal--behavior by the mutual fund industry, there were so many scandals this year that we have created this timeline to help you keep track. Indeed, there was so much misconduct this year that we can't claim that this timeline is comprehensive. Rather, these are the lowlights from an extraordinarily bad year. article
