If the connotation of risk is an intertwined concept and is difficult to quantify, how does a Risk Officer look at it?
Is there any way other than using copula models to determine systemic risk with long tails or a black swan event?
@CQFInstitute @GARP_Risk @SOActuaries
•75- 80% of the loss given events are classified as Operational #LGE - (LOSS GIVEN EVENTS),
•Only 15%- 20% of the LGEs are driven by Market or Credit or both
#Risk managers can use #scenario #analysis based on an expert judgement, that can be more helpful, instead of applying #VaR models blindly.
The Financial Markets outcomes are not Normal or i.i.d in any sense.
Gaussian Copula model assumes that correlation (strength of association between x and y variables) is Linear and hence presents the symmetric perspective of market-driven loss events.
@BIS_org
But that didn't work out well using symmetric event modelling assumptions!
A #Poisson Probability Distribution Model to measure frequency, whereas stochastic simulation can be used to measure severity for each single event loss.
The most common assumption used is that loss severity is independent of loss frequency.
This Loss distribution model for e.g. in the context of a Hedge Fund?
Can we induce randomness into the experiment to better capture heavy loss incurring tailed events aka Black Swan Events (having high severity and low frequency)?
2. Sample nnn times from the loss severity distribution to determine the loss experienced for each loss event (L1, L2,…,Ln)
Kindly refer to the same BASEL II - ORM Taxonomy as laid down in Basel II literature to better understand the vertical dependencies between various risk types/ across various lines
The following lists the seven official Basel II event types with some examples for each category:
1.Internal Fraud – misappropriation of assets, tax evasion, intentional mismarking of positions, bribery
3.Employment Practices and Workplace Safety – discrimination, workers compensation, employee health and safety
5.Damage to Physical Assets – natural disasters, terrorism, vandalism
7.Execution, Delivery, and Process Management – data entry errors, accounting errors, failed mandatory reporting, negligent loss of client assets
To better comprehend hedge fund business complexity you need to have a proper FMEA (Failure Modes and Effect Analysis) ....
Management that is a classic problem observed in the #FRM Profession, just because it is difficult to do quantitative modelling.
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Two year back thread on MFI, someone liked this so came up in notifications . Rather than running around 100s of indicators, I have made this my go to indicator under any circumstances and have been using this for years
This thread actually had some great answers , one can learn a lot about the thought processes of different traders from the answers. Please go thru them
What do you think/use as the most robust leading indicator if following technical analysis ? Please answer with reason , I will provide my answer after 2 hours
— Subhadip Nandy (@SubhadipNandy16) August 12, 2019
( At Delhi airport , bored as hell )
This thread actually had some great answers , one can learn a lot about the thought processes of different traders from the answers. Please go thru them
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Speech Delay is most common in children nowadays
In ancient times, our grandparents used to follow typical natural way of caring the needs of a child. All they used were more of natural products than chemical based for the growth of child.
One of major step followed was to feed Gurbach Jadd/ Vasa Kommu/ Acorus Calamus for initiating good speech ability in a child. This stem was needed to babies on Tuesdays and Sundays in mother's milk.
Vasa is feed to baby after the 1st bath on 12th day in week. Weekly only thrice it is fed and named as :
Budhwar - Budhi Vasa
Mangalwar - Vaak Vasa
Ravi Vaar - Aayush Vasa
This stem is burnt and rubbed against the grinding stone in mother's milk or warm water to get a paste
The procedure to make it is in the link
https://t.co/uo4sGp7mUm
It should not be given daily to the child. Other main benefits are
1. It clears the phlegm in child's throat caused due to continuous milk intake. It clears the tracts and breathing is effortless.
2. Digestion
For children who haven't got their speech and is delayed than usual should feed this vasa on these days in week atleast for 6months. Don't get carried away with this dialogue
"Some gain speech little late"
In ancient times, our grandparents used to follow typical natural way of caring the needs of a child. All they used were more of natural products than chemical based for the growth of child.
One of major step followed was to feed Gurbach Jadd/ Vasa Kommu/ Acorus Calamus for initiating good speech ability in a child. This stem was needed to babies on Tuesdays and Sundays in mother's milk.
Vasa is feed to baby after the 1st bath on 12th day in week. Weekly only thrice it is fed and named as :
Budhwar - Budhi Vasa
Mangalwar - Vaak Vasa
Ravi Vaar - Aayush Vasa
This stem is burnt and rubbed against the grinding stone in mother's milk or warm water to get a paste
The procedure to make it is in the link
https://t.co/uo4sGp7mUm
It should not be given daily to the child. Other main benefits are
1. It clears the phlegm in child's throat caused due to continuous milk intake. It clears the tracts and breathing is effortless.
2. Digestion
For children who haven't got their speech and is delayed than usual should feed this vasa on these days in week atleast for 6months. Don't get carried away with this dialogue
"Some gain speech little late"
