Discover and read the best of Twitter Threads about #ERM
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Two striking resemblances btw #SVB & former @CreditSuisse.
Both banks did not pay attention to the top 8–20 risks, which every board must.
Either these banks kept their risk desks understaffed or didn't hire key managerial position holders at all.
Why?
Need introspection now.
Both banks did not pay attention to the top 8–20 risks, which every board must.
Either these banks kept their risk desks understaffed or didn't hire key managerial position holders at all.
Why?
Need introspection now.
@CreditSuisse It was reported on this forum that #SVB did not have a CRO for some 8 months during the VC Market spiralling.
Also, I read just now that former @CreditSuisse was sacking key MDs in their across their risk desks.
This trend continued since the #Archegos fiasco surfaced after 2019
Also, I read just now that former @CreditSuisse was sacking key MDs in their across their risk desks.
This trend continued since the #Archegos fiasco surfaced after 2019
CRO Chief Risk Officer or Head of Risk Management is a key managerial decision-making position and C Suite Level role which every financial institution can afford to keep empty these days.
The Front, Middle, and Back Office roles form key lines of defence against top risks.
The Front, Middle, and Back Office roles form key lines of defence against top risks.
#Incident reporting should follow & precede #riskmanagement?
The two are slightly different areas of specialization
in the office environment.
It is akin to the debate between #reliability and #safety.
Both are contrasting concepts in organizational #resilience studies.
The two are slightly different areas of specialization
in the office environment.
It is akin to the debate between #reliability and #safety.
Both are contrasting concepts in organizational #resilience studies.
They are certain leading businesses including big banks that have separated incident reporting desks from risk management co-ordination cells.
Actually, incidents are events which require an eye and a taxonomy for recognition.
Coding outcome events into loss database is essential
Actually, incidents are events which require an eye and a taxonomy for recognition.
Coding outcome events into loss database is essential
The most difficult area in financial risk management was the coding of operational risk incidents or potential events having adverse negative probabilistic outcomes, which can yield material quantifiable losses in the financial statements.
@BIS_org changed the AMA RiskMetrics
@BIS_org changed the AMA RiskMetrics
The #ERM Crisis still haunts the BOE, which back then was controlled by the HM Treasury and Chancellor of the exchequer.
George Soros's Quantum Fund has now been replaced by countless Quantamenal FX Algo and HFT Funds and Specialized Investment Vehicles, backed up by Ai/ML.
George Soros's Quantum Fund has now been replaced by countless Quantamenal FX Algo and HFT Funds and Specialized Investment Vehicles, backed up by Ai/ML.
Once the currency and money market decline precipitates, conjointly, then open market mechanisms turn financial markets into a Darwinian jungle dominated by herd instincts and other complex emerging risks which pave the way forward for a Systemic Risk Meltdown.
#PoundSterling
#PoundSterling
No wonder the UK Sovereign Bond Market is so jittery!!
They know higher inflation expectations will make rates go up even more.
Tax cuts are not helpful in that sense.
Also, C/A Deficit number is not helpful with a tax cut incentive, which will nullify the trade competitiveness
They know higher inflation expectations will make rates go up even more.
Tax cuts are not helpful in that sense.
Also, C/A Deficit number is not helpful with a tax cut incentive, which will nullify the trade competitiveness
What is driving the FS Industry to invest more in #GRC &/or ERM Technology?
@irmglobal @IRMIowl @ERMAcademy
@irmglobal @IRMIowl @ERMAcademy
Let me try to answer this question in a generalized manner. So, its applicability extends beyond banks, risk insurance and asset management firms.
I think ERM Systems and/or the GRC Systems have now become more regulation oriented across different legal compliance jurisdictions.
I think ERM Systems and/or the GRC Systems have now become more regulation oriented across different legal compliance jurisdictions.
Kindly, do note that the ERM/ GRC Models being used are not always the same. Different Industries identify, measure and apply risk controls in an entirely different manner from one another.
Met a CFA today who lost so much money, and only a few days back had the privilege of meeting a top broker in my country, who made millions on the same day!
Investment is not just about education.
Market whims matter when you trade-in & out of positions.
Research versus timing
Investment is not just about education.
Market whims matter when you trade-in & out of positions.
Research versus timing
Especially, Retail Banks, that have Capital Market and Investment Banking Desks, lose so much money on bad days.
Banks should cap their equity market exposures using some haircuts such as capital, etc.
It's not their forte.
Banks should cap their equity market exposures using some haircuts such as capital, etc.
It's not their forte.
As an #ERM Consultant, I normally don't advise conservative commercial banks to venture into financial derivatives and structured products.
It's high risk because firstly, they don't have the trained manpower, secondly, they lack the intelligence, and, lastly, the risk appetite.
It's high risk because firstly, they don't have the trained manpower, secondly, they lack the intelligence, and, lastly, the risk appetite.
Risk Management is not just about producing tons of reports that nobody wants to read in the office.
I am very angry to note that most of the #ERM/Risk Desks just produce day-end reports, which end up in the dustbin.
Risk Dept. should not be a tick the box function.
I am very angry to note that most of the #ERM/Risk Desks just produce day-end reports, which end up in the dustbin.
Risk Dept. should not be a tick the box function.
what is the point of preparing #VaR Reports, when the fund manager does not understand basic probability?
Rubbish!!
Rubbish!!
There is no point in hiring a world-class hard science PhD to do risk management work at financial institutions or elsewhere, if the board members have zero numeracy and data science skillsets, the staff in front and back offices have poor technical and academic backgrounds, etc
Most of the #ERM Units / Desks at banks hire Actuaries as Quantitative Risk Experts in either the front or the middle offices.
However, to be a CRO, you ideally ought to know the business model risks, credit underwriting risks (if you are working at a Commercial Bank),
However, to be a CRO, you ideally ought to know the business model risks, credit underwriting risks (if you are working at a Commercial Bank),
the governance, risk and compliance issues, IT/Data and Cybersecurity related Risk Issues, risk culture, risk attitudes, risk conduct and risk change management processes, DRP and BCP, and the Non -Financial Operational Risks in addition to quantifiable risks such as Credit,
Market and Liquidity Risks that exists across financial markets and asset class/es.
What is better in a banking career, risk management or internal audit?
@GARP_Risk
@GARP_Risk
Difficult question.
Depends on where you are and what you have studied in the past?
Depends on where you are and what you have studied in the past?
Risk, is an emerging area, within the first world. Just visit the financial careers website to check out the jobs in Citi and elsewhere.
Does risk management involve a lot of maths?
@SOActuaries @GARP_Risk @CQFInstitute @PRMIA @CFAinstitute @irmglobal
@SOActuaries @GARP_Risk @CQFInstitute @PRMIA @CFAinstitute @irmglobal
Yes and No!
It's a well-rounded discipline.
It's a well-rounded discipline.
For #Actuarial, #Insurance, Financial Engineering, #Quantitative #Finance and Investment Management, #Mathematical #Trading, and #Financial Risk Assignments, you might require a lot of Maths and Statistics.
Is like asking whether we need milk and sugar for making ice cream ;)
Is like asking whether we need milk and sugar for making ice cream ;)
I still don't know why so many IAD Officials detested my work at some firms where I was chosen to work as a CRO/ Lead Risk Consultant?
After all, the Risk Desk and the IAD should work as partners, but, I do feel there is an unspoken rivalry between these two lines of defence.
After all, the Risk Desk and the IAD should work as partners, but, I do feel there is an unspoken rivalry between these two lines of defence.
Turfs warfare?
Internal Audit was the bespoke risk management desk before Risk Desks were set up by the corporate boards across the globe.
Auditing and Credits Departments at Banks are bigger adversaries of Risk as an independent reporting function compared to the business desks.
Internal Audit was the bespoke risk management desk before Risk Desks were set up by the corporate boards across the globe.
Auditing and Credits Departments at Banks are bigger adversaries of Risk as an independent reporting function compared to the business desks.
ஒரு சின்ன ஸ்பின்னிங் யூனிட் மெசின் செட்டப் முடிச்சு உற்பத்திய தொடங்க என்ன பட்ஜெட் ஆகும்னு ஒரு #திரட்...🙏
👇👇👇
👇👇👇
முதல் இடம் பார்க்கனும்னா உங்கள் ஊர்ல போக்குவரத்துக்கு சாலை வசதி உள்ள இடமாகவும்... ஊரை விட்டு தள்ளி ஒரு ஏக்கர்ல இடம் இருக்க வேண்டும்...👇
கரிசல் பூமியாக இல்லாத இருந்தா.ஏனென்றால் பில்டிங் செலவு அதிகமாகும் என்பதனால்.. பூமிக்கு குறைந்தபச்சம் ஒரு ஏக்கர் 6லட்சம் முதலீடாக இருக்கட்டும்...👇
What are recent topics for PhD in management or other affiliated subjects?
@LSEPhD
Many!
The latest topics of interest are =>
@LSEPhD
Many!
The latest topics of interest are =>
1.#Behavioural models of #Marketing using experimental economics
2.Role of #Data #Sciences in modelling time-motion studies to measure human efficiency and output on the shop floor.
2.Role of #Data #Sciences in modelling time-motion studies to measure human efficiency and output on the shop floor.
3.#Reliability Management Process Improvement Controls used in the Value-Added Industries
(Industrial/#engineering management).
(Industrial/#engineering management).
Every socio-economic, political, legal, natural disaster, man-made disaster, or another process, which leads to a negative outcome must be recorded and taxonomized as an incident having material or near-miss risk characteristics, in the right category box in the risk register.
Modern #ERM & Traditional Risk Management are getting more and divided.
ERM is not just about Operational Loss Management and Materiality Assessment based on Assurance and Risk Review drove Internal Controls and Testing, but, it goes beyond that!
@IASassociation @TheIIA @BIS_org
ERM is not just about Operational Loss Management and Materiality Assessment based on Assurance and Risk Review drove Internal Controls and Testing, but, it goes beyond that!
@IASassociation @TheIIA @BIS_org
More and more #Analytics is being used in both Auditing and Risk management, to understand the organizational dynamics of commercial strategy and the vulnerabilities associated thereof.
Especially the design, inserting and removal of Internal Controls is an analytical exercise.
Especially the design, inserting and removal of Internal Controls is an analytical exercise.
Interviewed a fully qualified #actuary from the @SOActuaries professional body, who really impressed me!
It goes on to show that not all mathematically inspiring and charismatic blokes are dull at understanding the subtle qualitative aspects of business #risk and transactions.
It goes on to show that not all mathematically inspiring and charismatic blokes are dull at understanding the subtle qualitative aspects of business #risk and transactions.
Actually, I do offer my services as a recruiter aka professional headhunter and knowledge capital developer, in addition to teaching Talent Management at staff colleges across financial institutions
I often get twirled when I have to choose between Financial Engineers & Actuaries
I often get twirled when I have to choose between Financial Engineers & Actuaries
Mostly, for Front Office Risk Management roles, Financial Engineers, Financial Mathematicians, and Quantitative Economics or Finance Risk, etc candidates get preference
For Middle Office and other Risk Sub-Silos Roles, Actuaries compete with other Quants coming from hard sciences
For Middle Office and other Risk Sub-Silos Roles, Actuaries compete with other Quants coming from hard sciences
Top-Down Vs. Bottom-Up Style of Investment Analysis: Risk Versus Research Desk Perspectives
@GARP_Risk @CFAinstitute @CQFInstitute
@GARP_Risk @CFAinstitute @CQFInstitute
In the field of Investment Risk and Research Analyses, the research/risk analyst has to make a choice between two asset selection and/or allocation approaches.
The first approach is referred to as the “Top-Down Analysis” and the second is its opposite, the “Bottom-Up Analysis”.
The first approach is referred to as the “Top-Down Analysis” and the second is its opposite, the “Bottom-Up Analysis”.
Buy Vs. Sell-Side Risk Information: Time to Differentiate between “Your Risk” and “My Risk” Reports
@CFAinstitute @GARP_Risk
@CFAinstitute @GARP_Risk
Report Sample of Asset Allocation Analytics
Well, we all are accustomed to reading “Buy” and “Sell-Side” Investment Evaluation Reports prepared by Financial Research Analysts at various FIs such as Investment Companies operating in the Financial Markets.
There is an obscure problem when you join the BIG-4 Advisory or auditing, or consulting side of the profession within the services sector.
Most of the co-workers come from an #Accounting background, which makes things awfully difficult to communicate and interpret.
Most of the co-workers come from an #Accounting background, which makes things awfully difficult to communicate and interpret.
I remember working with an #Audit Expert, having a BIG-4 background.
The chap didn't understand anything except for debit, credit, and fraud risk.
The assignment required to be sophisticated Actuarial Finance, Mathematics, and Econometric Skill Sets to understand the GAPS.
The chap didn't understand anything except for debit, credit, and fraud risk.
The assignment required to be sophisticated Actuarial Finance, Mathematics, and Econometric Skill Sets to understand the GAPS.
Net thread Inshallah ->
What is the difference between the value at risk (VaR) and the conditional value at risk (CVaR)?
What is the difference between the value at risk (VaR) and the conditional value at risk (CVaR)?
Value - at - Risk is the purported worst-case loss under normal circumstances/market conditions developed using a computational technique and further specific modelling assumptions tailored as per the risk reporting requirements of a Trading / Investment Desk.
But I tend to disagree with the term WCL - (the Worst Case Loss), as mostly used by some authors in the field of FRM - Financial Risk Management.
As a GRC / #ERM Professional one should always follow the golden rule, that is ->
"If it hurts, it works!"
If our actions and impressions are not keeping the front and back offices at the edge of their toes, then we aren't fulfilling our job description responsibilities.
Simple!
"If it hurts, it works!"
If our actions and impressions are not keeping the front and back offices at the edge of their toes, then we aren't fulfilling our job description responsibilities.
Simple!
You have to annoy people to get things done at Financial Businesses!
Cannot be too sweet all the time.
Risk Managers should adopt a more stern and stiff disposition.
Have an awfully cosy relationship with the traders and RMs might not be helpful.
Cannot be too sweet all the time.
Risk Managers should adopt a more stern and stiff disposition.
Have an awfully cosy relationship with the traders and RMs might not be helpful.
If a treasury dealer or capital market trader is violating his stated desk exposure or any other risk limits aka haircuts, assigned to him by the Middle Office, the former should not be allowed to engage in financial activity any further.
Just unplug the PC/ Trading screen.
Just unplug the PC/ Trading screen.
The failure of Risk Management is manifold.
Only a day earlier I was in conversation with a treasury market dealer, who runs a fixed income, bond derivatives and call /clean rates desk at a leading global bank.
I was surprised to note that he didn't factor risk into decisions!
Only a day earlier I was in conversation with a treasury market dealer, who runs a fixed income, bond derivatives and call /clean rates desk at a leading global bank.
I was surprised to note that he didn't factor risk into decisions!
Upon my inquiring, he told me that he made placements, without actually computing Risk Adj. Return for any of the fixed-rate drove asset classes or potential exposures.
His targeted profitability metric is the market yield aka IRR for bonds and bullet rates for MM Placements.
His targeted profitability metric is the market yield aka IRR for bonds and bullet rates for MM Placements.
So, I insisted on asking further, as to what role was the risk department playing at the bank, and why nobody taught him how to compute and understand RAROC family?
Why treasury front office didn't comply with the risk budgets, etc?
Why treasury front office didn't comply with the risk budgets, etc?
Which are some stylized failures of Risk Management?
It is the only subject when turned into a profession, which fails to deliver in SVA terms in most of the cases, as witnessed now outside the Insurance Sector
Insurance is a different game because the profession is led by well-trained quantitative professionals such as Actuaries
Insurance is a different game because the profession is led by well-trained quantitative professionals such as Actuaries
Why it has not worked well outside the Insurance Sector/s?
The multiple reasons for the failure of Risk Management and Auditing Departments at firms could be the following =>
The multiple reasons for the failure of Risk Management and Auditing Departments at firms could be the following =>
Does #risk management involve a lot of maths?
Yes and No!
It's a well-rounded discipline.
It's a well-rounded discipline.
For #Actuarial, Insurance, Financial Engineering, Quantitative Finance and Investment Management, Mathematical Trading, and Financial Risk Assignments, you might require a lot of Maths and Statistics.
Is like asking whether we need milk and sugar for making ice cream ;)
Is like asking whether we need milk and sugar for making ice cream ;)
How much importance is the FRM certification course?
@GARP_Risk
@GARP_Risk
If you have no background in Banking and Finance subjects, it is better for you to do an FRM / PRM and the other professional qualifications in risk offered by various bodies and institutes around the world.
I am sorry, but with this sort of garbage, you won’t be able to impress employers at the highest level, who are looking for mature #ERM Specialists with industry-specific experiences and learning or Quants with exceptional degrees from the top most unis.
How seriously is past volatility a fair estimate of future volatility or risk useful in financial models?
@GARP_Risk
Historical Volatility based on empirical data sample observations.
@GARP_Risk
Historical Volatility based on empirical data sample observations.
Data Sample Observations can be historic baseline data for a particular asset class/exposure or simulated data derived from iterations using some historical data sets.
Another branch of data which can be used to observe future volatility is exploratory data drawn from within a sample or a population using data #visualization tools.
This technique is becoming popular as data science and machine learning advancements are taking place
This technique is becoming popular as data science and machine learning advancements are taking place
