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Extreme events risk management
Are there benchmark papers and modeling techniques for risk management in severe market stress scenarios? I am a firm believer that VAR is ineffective at preventing a firm/fund from going belly up, and only has some meaning, however little helpful, in orderly market conditions.I read the CrashMetrics paper, which is interesting, wondering if there has been more academic research post 2008 crash?
Extreme events risk management
Some sort of specific scenario testing list of events? I think there was a thread on it here somewhere, might check the search.
Extreme events risk management
No I mean an actual framework like VAR, but one that focuses on extremely distressed markets. The only thing I've seen so far is CrashMetrics, from Paul Wilmott in 1998, so I assume there have been some progress made since then, especially in the last two years. Nassib Taleb is pretty vocal about how useless VAR is, so there surely must be "better" solutions nowadays?
Extreme events risk management
QuoteOriginally posted by: outrunI know trackstar is doing something with chain dependencies..That is top secret work and I certainly do not desire public exposure on the Technical Forum. If there are questions, let them come to my office in the OT.
Last edited by Trickster on October 21st, 2010, 10:00 pm, edited 1 time in total.