The #SVBCrash also further exposes the uselessness of the Basel 3 Accord and its modifications over the years
Why nobody is discussing the utter failure of @BIS_org which makes financial institutions invest billions in technology and staff recruitment, etc
We need answers
Why nobody is discussing the utter failure of @BIS_org which makes financial institutions invest billions in technology and staff recruitment, etc
We need answers
@BIS_org And the liquidity risk metrics reporting and filing which were introduced by @BIS_org under BASEL 3 were not fully implemented by the FED beyond certain large banks
But, still, certain aspects of Basel 3 were fully incorporated by the #SVB to make risk disclosures to the public.
But, still, certain aspects of Basel 3 were fully incorporated by the #SVB to make risk disclosures to the public.
The basic lesson we learned during the GFC was that liquidity risk factor/s and CAR Capital Adequacy Risk are interlinked.
A bank can default due to liability-side funding risk or asset-side market inability risk (which implies the bank is unable to liquidate or offload assets)
A bank can default due to liability-side funding risk or asset-side market inability risk (which implies the bank is unable to liquidate or offload assets)
Some financial institutions compute #DVaR or EVaR for all financial instruments blindly.
Daily value at risk cannot be a useful measure of the market risk if an asset class has a settlement that is not categorized as T+1 or if it takes longer than a day to sell it
E.G. PE/VC
Daily value at risk cannot be a useful measure of the market risk if an asset class has a settlement that is not categorized as T+1 or if it takes longer than a day to sell it
E.G. PE/VC
Stupid risk managers assume that price model distribution is normal, the lognormal returns are i.i.d and volatility remains constant applying the square root rule of time, & thereby aggregate risks forecast which ignores P&L Autocorrelations, intertemporal price innovations, etc
No lessons learned from the #LTCM CRASH?
What went wrong at the infamous hedge fund which was managed by two Nobel Prize winners in economics?
They were misunderstanding and misapplying the #BSOP Black Scholes option pricing model and were computing #DVaR of illiquid assets
#SVB
What went wrong at the infamous hedge fund which was managed by two Nobel Prize winners in economics?
They were misunderstanding and misapplying the #BSOP Black Scholes option pricing model and were computing #DVaR of illiquid assets
#SVB
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