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John A Morrison's Blog – May 2009 Archive (9)

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Econometric Institute, Erasmus University Rotterdam and Department of Applied Economics, National Chung Hsing University, Taiwan


Juan-Angel Jimenez-Martin, Department of Quantitative Economics, Complutense University of Madrid


Teodosio Pérez-Amaral, Department of Quantitative Economics, Complutense University of Madrid

May 2009


In this paper we defined risk management… Continue

Added by John A Morrison on May 25, 2009 at 1:00am — No Comments

BASEL COMMITTEE - Holistic Risk Analytics & Stress Testing Principles

It's not just the "secretariat" in Basel scribbling out guidance which noone needs to read in the first paper I am citing here, look at the members of the committee which produced this document!!! There's a representative from nearly every significant Supervisor in the Globe. Does this mean that we have a new consensus from the current supervisory "overheid"? (Flemish term for government, which I think rings in English). Are they saying to us that Risk Analytics must be holistic i.e must… Continue

Added by John A Morrison on May 20, 2009 at 11:30am — No Comments


by Paula Antão & Ana Lacerda, BANCO DE PORTUGAL, May 2009

File Under "Very Useful Introduction to Basel II"

Added by John A Morrison on May 19, 2009 at 10:30am — No Comments

For all of you out there interested in Liquidity Risk Analytics (of the Market type)

When you are analysing liquidity risk you have to be aware that there are two classes of the phenomenon, its akin to the demand and supply side of an equilibrium really, with Funding Liquidity (FL) effectively modelling institutional demand for money and Market Liquidity (ML) effectively modelling supply of liquidity. Balance them both and you have the price of liquidity for your institution. See my SAP B2P2 WP for a literature review which summarises this classification neatly I… Continue

Added by John A Morrison on May 19, 2009 at 2:44am — No Comments

The Point of Stress Testing and How to do it!

This is a summary of links to IP already on the asymptotix website (and my related blog on Analytic Bridge) alongside references to Revolutions, the world leading blog of material on R and REvolution Computing from David Smith at REvolution Computing. One or two of the older references are direct links to material in the public domain and may duplicate some of the summary references on the asymptotix site.

I have split the references between 3… Continue

Added by John A Morrison on May 19, 2009 at 2:34am — No Comments

European Central Bank: Integrated Economic Capital Models


by Piergiorgio Alessandri and Mathias Drehmann

I think this is a version of a paper I have already referred either here or over in the asymptotix blogs. What is interesting is that this paper is in the European Central Bank working papers series. Are these ideas becoming finally mainstream? Would that not be just "the business". Instead of highlighting the abstract in a blog post, as I… Continue

Added by John A Morrison on May 7, 2009 at 12:33am — No Comments

A Framework for Assessing the Systemic Risk of Major Financial Institutions

by Xin Huang, Hao Zhou and Haibin Zhu

BIS Working Papers No 281

April 2009


In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations… Continue

Added by John A Morrison on May 7, 2009 at 12:15am — No Comments

How to traction the European Commission Structural Economic Model of the EU for Stress Testing

Over the last two months in particular, I have become interested in the integration of Low Dimensional Factor Modelling with Structural Modelling (nowadays referred as DSGE or Dynamic Stochastic General Equilibrium (models)). You can see many references to my growing interest in this topic in this blog and in my corporate blogs over on;

The recent publication of the Spring Forecasts by the Directorate… Continue

Added by John A Morrison on May 7, 2009 at 12:10am — No Comments

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