Nematrian
/


Measuring and managing market, credit and Op risk [10]

Go to: Summary | Previous | Next   
Bullet points include: Any risk measurement / management (of the sort that we are talking about here) is implicitly forward looking We can only (actually) change the future not the past Does not stop people trying to rewrite history, i.e. our understanding of the past Involves extrapolation of what we already know into an uncertain future May create appearance of robustness rather than substance Tendency is to reach for past data (but which past data?) and assume (in some shape or form) that it will be applicable in the future Some data (e.g. market-implied data) may be more forward-looking Purely historic risk measurement may help in demonstrating that appropriate stewardship has occurred, see Kemp (2009)

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile