Whitepapers
The Evolution of Regulation: Avoiding Silo²
by Dr Willi Brammertz - Senior Advisor at FRSGlobal
Current financial regulation is largely focused on refining an inherently flawed and doomed system. Flawed, because it is based on limited historical data gathering techniques and analytical capabilities. Doomed, because these limitations no longer exist.
The carbon market: Politics and markets - and how to model it
by Dr Willi Brammertz - Senior Advisor at FRSGlobal
CO2 is the new kid on the block. But is it just trading thin air?
Why and how is this air bought and sold? What are the politics behind it? Where is the exchange? Which rules are followed? Such general questions are discussed in this paper to clear the ground. The statements which reflect the current state at the time of writing should be taken with a pinch of salt however, since the political debate is in a constant flux.
The world beyond VaR
by Dr Willi Brammertz - Senior Advisor at FRSGlobal
The triumph of Value at Risk (VaR) appeared 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 this to the insurance sector and the treasuries of non-financials.
Regulators were also taken by this novel measure, accepting them as superior "internal models" compared to the more recipe-like standard models. Originally a market risk oriented measure, VaR was then successfully extended to credit and operational risk. When liquidity risk resurfaced on the risk map, vendors such as Algorithmics were quick in declaring “Liquidity at Risk” as a new measurement tool.
Risk in the boardroom - arming the C-suite for future black swans
by Dr Willi Brammertz - Senior Advisor at FRSGlobal
As the dust of the financial crisis settles we see certain patterns of a new order emerge. As a net result, we see increased risk awareness at the board level, fuelled by additional internal and external regulation driven-demands.
The board therefore needs better risk management tools based on stress-testing techniques at the expense of Value-at-risk (VaR) techniques. This implies radical underlying architectural changes, a fact most board members are not sufficiently aware of.
Risk Management for Solvency II and beyond
by Werner Hürlimann - senior consultant for the insurance business sector at FRSGlobal.
This report includes a survey of some recent methods and explains the areas of focus: modeling, ordering of risk, statistical and numerical issues.
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