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What is driving the FS Industry to invest more in #GRC &/or ERM Technology?
@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.
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.
Read 23 tweets
I am doing my master's thesis on alternative option pricing models with applications to risk management (e.g. #VaR measures, hedging).
I have a good background in finance and econometrics.
What kind of new and valuable insight could I bring to this topic?
VaR - Value at Risk is not an Option Pricing model!
BSOP Greeks enable the Options trader to understand and hedge against Market Risk in various forms.
You cannot really use VaR to price options on its own.
A RAROC / RARORAC / RORAC/ ROVAR Type Model might do the trick, but that is beyond the scope of your question and this discussion,
Read 18 tweets

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