Black Swans

Expected shortfall’s silver lining

Despite continuing to insist that replacing value-at-risk with expected shortfall in the Basel Capital accord is wrongheaded and potentially dangerous, David Rowe argues that the shift may have an important silver lining

Institutional inertia on tail risk measurement

Institutional inertia is one of the abiding forces in human experience, especially in governmental institutions. Sadly, such inertia is likely to hinder much-needed revisions in the practice of financial risk management, argues David Rowe

Testing to destruction

Reverse stress testing is set to become standard practice under Solvency II as part of the validation process for internal models, yet for most European insurers such tests are a new concept. Clive Davidson examines what can be learned from the UK, where…

Looking at Black Swans

In the second of a four-part series on the development of risk management, David Rowe considers the phenomenon of high-impact events, or Black Swans

Sponsor's article > Op risk and Black Swans

Scarce data is a well-recognised problem for the assessment of operational risk. In such circumstances, David Rowe argues, it is necessary to blend professional judgement with the available data. In doing so, however, it is crucial to counter some well…