ALM Europe: More judgement needed in risk management

Expert subjective judgement must be employed by banks to complement traditional risk management tools, says Royal Bank of Scotland's global head of market risk and quantitative analytics.

Appearing as the keynote speaker at Risk's annual ALM Europe conference in London on September 29, Riccardo Rebonato questioned the suitability of a percentile-based, frequentist approach to risk management, which favours tools such as value-at-risk (VAR) and economic capital.

He acknowledged that both banks

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