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TOGAF Version 9 -- The Open Group Architecture Framework

TOGAF 9 FrameworkWe posted this reference below in February this year & have recently re-referred it in a discussion of The Point About Stress Tests

The myth of regulation

monkeys seesaw"I want to lay to rest one myth – that it was because of a lack of regulation: On the contrary much of the regulation was there. It simply wasn't enforced. That’s why supervisory structures and supervisory resources and expertise must be and will be strengthened. Lessons have been learnt and they must be acted upon."



Revision of "Bâle II" Directive gets green light in European Parliament - CAD4 arrives

Brussels, 06/05/2009 (Agence Europe) - On Wednesday 6 May, MEPs debated two legislative proposals in the field of financial services: - proposed directive revising requirements in terms of capital for banks; - proposed decision establishing a Community funding programme for the activities of the three European committees of national regulators (CESR, CEBS, CEIOPS). In their support for the recommendations of each respective rapporteur, they have paved the way for these two legislative acts to be adopted at first reading before the end of the term in office.

five percent of something is better than fiftyfive percent of nuthing


CAD4 (or BASEL III) & 



"5% of something is better than 55% of nothing" McCreevy


The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

Jack Sparrow: “The only rules that really matter are these: what a man can do and what a man can’t do.”
Elizabeth: “You’re pirates. Hang the code, and hang the rules. They’re more like guidelines anyway.”
Jack Sparrow: “I thought you were supposed to keep to the code.”
Mr. Gibbs: “We figured they were more actual guidelines.”

Structured Product (Toxic or Impaired) Asset Pricing and Valuation Theoretical & Applied Modelling References BLUEPRINTS (ABBU)

This is all part of the 'Theory Forge' (or theoretical framework) which I have been initiating recently. Our publications work (we think) by explaining more fully our theoretical point of view & our specific approach to quantitative analytics in risk management and finance. The content is mostly taken from the higher level theoretical background with which we approach specific client engagements.

Extreme Value Theory and the Financial Crisis of 2008

The original paper I referred here has quite simply disappeared; maybe my reference gave it the ‘kiss of death’!

Recently I have learned that if I come across an interesting paper which is un-published or buried deep within a book, I can use the title to find material ’around’ the paper or other authors citing the paper I liked (even derivatively).

My interest in ‘Extreme Value’; is the influence of Professor McNeil of course! Since I cannot change the physical name of an old blog title without being severely shouted at by my boss (Peter Lindmark) I have used this technique here; it has been “extremely” useful!

Liquidity Risk - The Definitive Methodological Paper - Drehman

 The European Central Bank has this weekend published a working paper which in my view provides the definitve methodological approach to Liquidity Risk analytics for any financial institution.

In my view any consulting firm or software house advising you on Liquidity Risk analytics and NOT referring this paper, is advising you in a "private language"; you should regard this paper as the benchmark against which to qualify and assure yourself that you are being given the right advice. This paper is the methodological blueprint for 'best practice' in Liquidity Risk analysis, just look at the authors and editors; it has had the European "first XI" 'hall of fame' in risk management expertise working on it, reflecting the importance of the issue right now. 

John A Morrison Profile / email John


The paper details are as follows;-




by Mathias Drehmann (BIS) and Kleopatra Nikolaou (ECB)

CEBS publishes its report mapping supervisory objectives and powers across EU Member States

Am I alone in thinking that there is something not quite in the real world about these ongoing announcements from CEBS?

(there is no point in reading this if you don't know what CEBS is!)

Anyway, here we have CEBS yet again setting out or "mapping" (how I hate that word, when it doesn't refer mountains or lochs); objectives & powers, processes & targets for itself ....

Economic (Risk) Capital - How To - References




Asymptotix published a White Paper (WP) on Credit Risk Economic Capital, Open Source R and High Performance Computing. REvolution Computing (now called Revolution Analytics) kindly supported this paper. The paper is extensively referenced and more and more right now I am being asked about the references, as a body of work in their own right, which indeed they are, my paper isn't really necessary (although I would argue that REvolution is!). My paper simply glues together in a narrative, that body of theoretic work which constitutes the leading thinking in the Economic Risk Capital space. You could view the references as a theoretical forge from which a set of R objects could be refined from that universe and then optimised in REvolution. At least that's way I see it. You can reference my paper here, at this url;



Below is a presentation of the set of references I used both the theoretical work (alot of it is very applied) on issues in Risk and Economic Capital and the specific applied papers on Stress Testing.


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