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Perspectives on Integrated Risk ManagementDiscussions and points of views on the integration of risk quantification metrics, monitoring and reporting across the enterprise covering such topics such as macro-economic stress testing, solo capital, liquidity risk, living wills and the impact of proposed new regulations. November 10, 2010 Securities Financing TransactionsSecurities financing transactions such as repurchase and reverse repurchase agreements can experience loss in valuation not only from the adverse movement in market risk factors but also from the deterioration of the credit quality of the counterpart to the deal. The performance of these financing transactions in the recent market crisis has demonstrated that the working assumption that these sources of risk are addressed through the active management of posted collateral is unfounded. Better risk quantification techniques are required to capture these risks and well as the incorporation of stress testing in the risk management framework and the constraints imposed by a clear statement of risk appetite. Posted by Rudolph at 06:39 PM | Comments (0) March 25, 2010 About MeRudolph is a practicing risk management leader with significant experience in all aspects of credit, market and operational risk management and in the emerging areas of business, strategic, reputation and liquidity risk. He has consulted with many of the leading financial institutions across North America on risk identification, quantification, control, mitigation strategies, integrated reporting, compliance and governance issues. Posted by Rudolph at 11:40 AM | Comments (0) |
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