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Managing Market Risk: new attitudes, old wisdom.
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The evolution of the Basel regulatory capital process has driven major investments in systems and technology. Measurement and system output are critical to the capital calculation process, along with feeding the internal and external reporting requirements that Basel has spawned. But the focus on measurement comes at the expense of management and analysis. This is where the risk management process has fallen short. Measurement concentrates on the expected; management challenges arise when the unexpected occurs. For example, ’tail risks’ associated with highly correlated defaults have exceeded all industry expectations, and few market participants either assessed or hedged this risk properly.
Jörg Hashagen - Personal Name
NONE
Managing Market Risk: new attitudes, old wisdom.
Management
English
2008
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