Insights
Risk management in a sea of unknown unknowns
“There are known knowns…[and] known unknowns. But there are also unknown unknowns.” Donald Rumsfeld was referring to Iraq and WMDS, but the last part of that quote, about the…
Come with me if you want to remain solvent
The Terminator movie franchise left us with many memorable quotes, but the one from the unborn John Conner, relaed by the hero, Kyle Reese, in the 1984 original, is perhaps the…
The art of the probable
On the surface, there’s a singular purpose behind the introduction of stress testing: ensure that the next unprecedented crisis doesn’t cause banks to blow up like they did in…
Credit-Loss Forecasting: A Practical Guide to CECL
The COVID-19 crisis found most financial models wanting. In response, modelers panicked: what models, and how many of them, were now needed to cope with the “new normal”? Adding more…
Post COVID-19 Scenario Planning lecture
The coronavirus pandemic continues to rage globally. Vaccination campaigns have injected some much needed optimism, but they’ve also prompted thoughts to turn to what happens next. This is especially…
Cyborg model validation
Like the Titanic being unsinkable, banks’ models were meant to be unbreakable – able to withstand any scenario. They’d been perfectly validated, yet in the face of COVID-19, they…
Status Update: Funded
Pensions have never been especially exciting. Usually, it takes a crisis, like a company collapsing and retirees being deprived of their dues, for a pension fund to make the…
Risky business: why existing models don’t work
“Prediction,” said the Danish physicist, Niels Bohr, “is very difficult, especially if it’s about the future.” Within these pages, we’ve discussed the impossibility of specifically predicting the pandemic, along with the…
Putting Stress Tests in the Blender
We’re delighted to share that our CEO, Alla Gil, is the new FRM Corner columnist at the Global Association of Risk Professionals (GARP). Her first piece is out now….
What to Do When Black Swans Invade
In these crazy days, it can sometimes seem like one-in-a-hundred-year events are happening every five years (of course, as long as the events are all different, there’s not necessarily…
When Covid Moves the Risk Goalposts
Imagine running-up to take a penalty, only for the goalposts to move just as you’re about to kick the ball. What if the ball was the capital you’re managing…
Three Investment Lessons From the COVID Crisis
Equities, bonds and cash. This is the holy trinity of assets where investment managers stash most of their money. They may have a bit of all three; they may…