"Risk and regulatory hot topics" series :
The world beyond V@R
| Date : | This event took place on Tuesday 20th April 2010 |
Read event summary“Risk and regulatory hot topics” webinar series is a series of monthly webinars that provide expert comment on the most relevant topical issues in the industry. This month’s “Risk and regulatory hot topic” is V@R.
Willi Brammertz, Senior Risk Advisor at FRSGlobal, explains:
"Value at Risk (V@R) is a long-established and widely used risk measure whose popularity seemed unstoppable. To many, especially in trading rooms, it looked like the only surviving and indeed single necessary tool. Others went even further, applying it to entire banks and beyond to the insurance sector and the treasuries of non-financial institutions.
However, in recent years, the merits of this measure have been questioned. This is mainly because none of the many V@R models in the world’s most famous banks seem to have indicated anything near the disaster that unfolded during the 2008 meltdown. Some even described the measure as ‘a dangerously misleading tool’."
In this webinar, FRSGlobal's Willi Brammertz provided a comprehensive overview of the issue to all participants, covering the following points:
- A summary of the critique points and proposed improvements and extensions
- Issues for the risk manager of the future
- A closer look at the “man-machine relationship” involved in risk measures
- An overview of a general simulation environment which fulfils the new analytical demands
Note
Attendees automatically receive a summary of the webinar, complete with results of on-line polls and questions submitted during the Q&A session, the PowerPoint slides used during the presentation, and a link to a recording of the webinar.
