Category Archives: scenario analysis

Climate apples and oranges

January 18, 2012 – 8:35 am

Monday’s post discussed a proposal by Vikram Pandit, the CEO of Citigroup, calling for a comparison of the results produced by risk models across different banks when evaluating a standardized “hypothetical” portfolio of assets. Exercises like this are standard fare in many research fields where modeling encompasses a broad array of complicated issues, and there [...]

By John Parsons | Also posted in exposure, measuring risk | Comments (0)

Banking apples and oranges

January 16, 2012 – 8:20 am

Vikram Pandit, the CEO of Citigroup, used an opinion piece in last week’s Financial Times to make an interesting proposal on risk disclosures: banks and other financial institutions should be required to report how their internal modeling assesses the risk in a “benchmark” portfolio. Regulators would define the contents of this hypothetical portfolio, and banks [...]

By John Parsons & Antonio Mello | Also posted in measuring risk, regulation | Comments (1)

The Risk Management of Economic Angst

August 17, 2011 – 1:26 pm

I’ve just returned from Europe where I spent part of the summer talking to companies in different European nations. Everywhere I went, the signals are flashing yellow. In Europe, the recovery seems to be coming to a standstill. A poisonous mix of sluggish output, sovereign debt crisis, fragile banks and lack of political will has [...]

By Antonio Mello | Also posted in exposure | Comments (2)

TEPCO’s black swan

August 1, 2011 – 9:26 am

The four reactors at Fukushima Daiichi damaged in the March 11 earthquake and tsunami belong to the Tokyo Electric Power Co. (TEPCO). Not surprisingly, TEPCO’s financial situation has become perilous. In announcing its annual results, the company recorded a direct loss of more than ¥1 trillion ($12 billion). This does not include several significant additional [...]

By John Parsons | Also posted in commodities, exposure | Comments (1)

What’s Special About Stress Tests?

November 19, 2010 – 2:23 pm

The Fed has just announced a second round of stress tests for US banks. This follows the first round of tests in Spring 2009 with results announced in May. There are many interesting issues one could touch on in regard to the role of stress tests in regulating the banking system. But this blog is [...]

By John Parsons & Antonio Mello | Also posted in exposure | Comments (0)
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