Last month, the Scottish Financial Risk Academy was announced. Having been second to none for decades, the reputation of Scots as Risk Managers has taken a wee bit of hammering of late and the establishment of this initiative through the Scottish Parliament and with significant private sector support is a unique effort in part to redress that balance.

Acquisition of RiskMetrics by MSCI Barra could standardise VaR measurement and increase systemic risk, says EM Applications

London - 9 March 2010 Bob's Guide

My partners at Siag in Madrid are in a development process, at the finalisation of a Software product launch, for a new product called 'Price Manager', I get to see early screen shots, now and again, just glimpses of the future as it waits to be rolled out, growling like all good cyborgs do!

BBC SPINS KING

Dataset name: Balance Sheet Items; Frequency: Monthly; Reference area: Euro area (changing composition); Adjustment

indicator: Working day and seasonally adjusted; BS reference sector breakdown: MFIs, central government and post office

giro institutions; Balance sheet item: Monetary aggregate M3; Original maturity: Not applicable; Data type: Index of

This is actually patently obvious to anyone who considers it for more than a moment, it does need to be written down, articulated, specified through layers of abstraction as a constantly twittering software engineer in my timeline is currently obsessing about.

QUOTE: The changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels

BIS PAPER: http://www.bis.org/publ/bcbs163.pdf?noframes=1 Analysis of the trading book quantitative impact study October 2009

DISCUSSION: http://www.analyticbridge.com/profiles/blogs/basel-committee-trading-book

Financial Instruments: Replacement of IAS 39

It would be great if you could take the time to complete this anonymous online survey which as been put together by Moore, Carter & Associates.

I think the survey, "Giving voice to the risk management profession", is very well crafted, and once the findings are published, they may have a bearing on people's assessment of the causes of the financial crisis - and perhaps even help shape future reforms. The survey's validity will be strengthened based on the number of people who complete it. To participate press where it says "click here" towards the bottom of the forwarded message.

If you can think of anyone else who might have a view on why risk managers failed to avert the banking and financial crisis, please feel free to forward it to them for completion?

P.S.: if you're interested in reading some of my latest ramblings please click here

SURVEY LINK: https://www.surveymonkey.com/s.aspx?sm=KhXi3kzuHnCeSW_2b958VbUw_3d_3d 

We already posted a reference to a presentation by the CFO of UBS at the Bank of America/Merrill Lynch (BASML) banking conference last week. I was alerted to the availability of the RBS one (by Simon Hester) on Finextra here (who BTW slightly over-read or speed-read the presentation in my view, talking about a 6billion sterling technology budget) however the Hester presentation is of real interest, there are some frank confessionals and we see the costs of the APS beautifully elucidated.

some useful pointers:

Organised by the European Commission
DG Internal Market and Services
Friday, 25 September 2009, Brussels

The European Research Consortium for Informatics and Mathematics (ERCIM)

Working Group on

Computing & Statistics

Second Workshop

Limassol, Cyprus, 29-31 October 2009

Its only a matter of time but this is a stake in the back of these vampires!

Dataset name Financial market data - yield curve
Frequency Business
Reference area Euro area (changing composition)
Currency Euro
Financial market provider ECB
Financial market instrument Government bond, nominal, all triple A issuer companies
Financial market provider identifier Svensson model, continuous compounding, yield error minimisation
Financial market data type Yield curve spot rate, spread between the 10-year and 3-month maturity

THIS IS A WEBCAST FOR WHICH YOU HAVE TO COMPLETE A VERY SIMPLE REGISTRATION, ITS THE FIRST WEBINAR WHICH JOHN HULL HAS EVER DONE (AS HE TELLS YOU)

I HAVE TO SAY IT IS EXCELLENT, SO JUST HAVE YOUR SANDWICH OR A CUP OF COFFEE (OR A GLASS OF WINE) AND HAVE A LISTEN, IT REALLY IS EXCELLENT

Agenda, June 2009 from Oxera

"Bringing Back Best Practices in Risk Management: Banks' Three Lines of Defense".

Cette étude s’inscrit dans le cadre d’un programme de travail développé à la Banque de France.