Skip to main content Accessibility help
×
Home
  • This chapter is unavailable for purchase
  • Print publication year: 2014
  • Online publication date: December 2013

9 - Risk management data and information for improved insight

from PART II - REQUIREMENTS AND SOURCES FOR FINANCIAL RISK MANAGEMENT

Summary

Herein we provide an introduction and overview to the field of risk management for interested non-specialists, with a particular focus on the data and information requirements. Financial institutions produce enormous amounts of data. The challenge for risk managers is finding those data most useful for the task at hand, which might involve analyzing market, credit, operational, liquidity or systemic risk. All data are not equal, and their interpretation has been the subject of much debate, especially after the recent financial crisis. Some have asked whether data provide guidance or distraction in understanding financial risks. This chapter irst discusses some fundamental distinctions to keep in mind relative to all risk indicators used when actually managing risk. It closes with a brief tour of some of the core risk modeling tools in current practice, with an emphasis on their data and information needs.

Data versus information

The value and pitfalls of “actual” data

The modern world, characterized by pervasive computing power and massive electronic storage, is awash in data. As far back as 2007, Google was reportedly maintaining 100 exabytes of data (100 EB = 1 × 1020 bytes = 1 billion GB), largely to index the far more voluminous material on the Internet. Overall global storage capacity is measured in zettabytes (1 ZB = 1 × 1021 bytes; see Hilbert and López, 2012). In their raw and unorganized form, however, the data that surround us do not constitute information.

Addy, Christopher, 2008, Operational Due Diligence for Hedge Funds, presented at the Public Pension Financial Forum.
Alexander, Carol, 2008, Market Risk Analysis, Volume II: Practical Financial Econometrics, Wiley Finance.
Alexander, Carol, 2009, Market Risk Analysis, Volume IV: Value At Risk Models, Wiley Finance.
Alexander, Carol and Elizabeth, Sheedy, 2008, Developing a stress testing framework based on market risk models, Journal of Banking and Finance, 32, 2220–2236.
Allen, Linda, Gayle, DeLong and Anthony, Saunders, 2004, Issues in the credit risk modeling of retail markets, Journal of Banking and Finance, 28(4), 727–752.
Altman, Edward, 1968, Financial ratios, discriminant analysis and the prediction of corporate bankruptcy, Journal of Finance, 23(4), 589–609.
Altman, Edward, Andrea, Resti and Andrea, Sironi, 2004, Default recovery rates in credit risk modelling: a review of the literature and empirical evidence, Economic Notes, 33(2), 183–208.
Altman, Edward, Brooks, Brady, Andrea, Resti and Andrea, Sironi, 2005, The link between default recovery rates: theory, empirical evidence, and implications, Journal of Business, 78(6), 2203–2227.
Amihud, Yakov, Haim, Mendelson and Lasse, Pedersen, 2005, Liquidity and asset prices, Foundations and Trends in Finance, 1(4), 270–364.
Andersen, Torben, Tim, Bollerslev, Francis, X. Diebold and Paul Labys, 2000, Great realizations, Risk, 18, 105–108.
Andersen, Torben, Tim, Bollerslev, Peter, Christoffersen and Francis X., Diebold, 2007, Practical volatility and correlation modeling for financial market risk management, in: M., Carey and R. M., Stulz (eds.), The Risks of Financial Institutions, University of Chicago Press, ch. 11, 513–548, www.nber.org/chapters/c9618.pdf
Andersen, Torben, Tim, Bollerslev, Peter, Christoffersen and Francis X., Diebold, 2011, Financial Risk Measurement for Financial Risk Management, PIER Working Paper 11-037, University of Pennsylvania, November, http://ssrn.com/abstract=1955935
Ang, Andrew and Joseph, Chen, 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics, 63(3), 443–494.
Ashcraft, Adam and Til, Schuermann, 2008, Understanding the securitization of subprime mortgage credit, Foundations and Trends in Finance, 2(3), 191–309.
Avery, Robert, Paul, Calem, Glenn, Canner and Rafael, Bostic, 2003, An overview of consumer data and credit reporting, Federal Reserve Bulletin, February, 47–73.
Baesens, Bart and Tony, van Gestel, 2009, Credit Risk Management: Basic Concepts, Oxford University Press.
Bank for International Settlements (BIS), 2010, Triennial Central Bank Survey Report on Global Foreign Exchange Market Activity in 2010, Technical Report, December, www.bis.org/publ/rpfxf10t.htm
Bao, Jack, Jun, Pan and Jiang, Wang, 2011, The illiquidity of corporate bonds, Journal of Finance, 66(3), 911–946.
Basel Committee on Banking Supervision (BCBS), 2005, Amendment to the Capital Accord to Incorporate Market Risks, updated November, Technical Report, Bank for International Settlements, www.bis.org/publ/bcbs119.htm
Basel Committee on Banking Supervision (BCBS), 2006, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Bank for International Settlements, June, www.bis.org/publ/bcbs128.htm
Basel Committee on Banking Supervision (BCBS), 2008, Liquidity Risk: Management and Supervisory Challenges, Technical Report, Bank for International Settlements, February, www.bis.org/publ/bcbs136.pdf
Basel Committee on Banking Supervision (BCBS), 2010, Basel III: International Framework for Liquidity Risk Measurement, Standards and Monitoring, Technical Report, Bank for International Settlements, December, www.bis.org/publ/bcbs188.htm
Basel Committee on Banking Supervision (BCBS), 2011a, Revisions to the Basel II Market Risk Framework, updated as of 31 December 2010, Technical Report, Bank for International Settlements, February, www.bis.org/publ/bcbs193.htm
Basel Committee on Banking Supervision (BCBS), 2011b, Messages From the Academic Literature on Risk Measurement for the Trading Book, Working Paper No. 19, Bank for International Settlements, January.
Basel Committee on Banking Supervision (BCBS), 2012a, Monitoring Indicators for Intraday Liquidity Management, Consultative Document, Bank for International Settlements, July.
Basel Committee on Banking Supervision (BCBS), 2012b, Fundamental Review of the Trading Book, Consultative Document, Bank for International Settlements, May, www.bis.org/publ/bcbs219.htm
Bernstein, Peter, 1996, Against the Gods: The Remarkable Story of Risk, Wiley.
Bervas, Arnaud, 2006, Market liquidity and its incorporation into risk management, Banque de France Financial Stability Review, 8, May, 63–79.
Bianchetti, Marco, 2009, Bootstrapping the illiquidity: multiple yield curves construction for market coherent forward rates estimation, in: F., Mercurio (ed.), Modeling Interest Rates: Latest Advances for Derivatives Pricing, Risk Books.
Bielecki, Tomasz and Marek, Rutkowski, 2010, Credit Risk: Modeling, Valuation, and Hedging, Springer Verlag.
Bisias, Dimitrios, Mark, Flood, Andrew, Lo and Stavros, Valavanis, 2012, A survey of systemic risk analytics, Annual Review of Financial Economics, 4, 255–296. www.annualreviews.org/doi/abs/10.1146/annurev-financial-110311-101754
Board of Governors of the Federal Reserve (FRB), 2008, Interagency Statement -U.S. Implementation of Basel II Advanced Approaches Framework, Policy Statement, July 8, www.federalreserve.gov/boarddocs/srletters/2008/SR0804.htm
Bollerslev, Tim, 2010, Glossary to ARCH (GARCH*), in: T., Bollerslev, J., Russell and M., Watson (eds.), Volatility and Time Series Econometrics, Oxford University Press, ch. 8.
Bookstaber, Richard, 2009, Testimony of Richard Bookstaber Submitted to the U.S. House of Representatives, Committee on Science and Technology, Subcommittee on Investigations and Oversight, For the Hearing: ‘The Risks of Financial Modeling: VaR and the Economic Meltdown’, Congressional Testimony, September 10, 2009, http://bookstaber.com/rick/Testimony_of_Richard_Bookstaber_to_House_20090910.pdf
Bootle, Roger, 2011, The Trouble with Markets: Saving Capitalism from Itself, Nicholas Brealey Publishing.
Brigo, Damiano and Fabio, Mercurio, 2006, Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit, Springer Verlag.
Briner, Beat and Gregory, Connor, 2008, How much structure is best? A comparison of market model, factor model and unstructured equity covariance matrices, Journal of Risk, 10(4), 3–30.
Brown, Stephen, 2012, Quantitative Measures of Operational Risk: an Application to Funds Management, Working Paper, New York University, May, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2025112
Brown, Stephen, W., Goetzmann, B., Liang and C., Schwarz, 2008, Estimating Operational Risk for Hedge Funds: The ω-Score, Working Paper, Yale University, May, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1086341
Brownlees, Christian, Robert, Engle and Bryan, Kelly, 2011, A practical guide to volatility forecasting through calm and storm, Journal of Risk, 14(2), 3–22.
Bruche, Max and Carlos, González-Aguado, 2010, Recovery rates, default probabilities, and the credit cycle, Journal of Banking and Finance, 34(4), 754–764.
Brunnermeier, Markus, 2009, Deciphering the liquidity and credit crunch 2007-2008, Journal of Economic Perspectives, 23(1), 77–100, www.aeaweb.org/articles.php?doi=10.1257/jep.23.1.77
Brunnermeier, Markus and Lasse, Pedersen, 2009, Market liquidity and funding liquidity, Review of Financial Studies, 22(6), 2201–2238.
Brunnermeier, Markus, Thomas, Eisenbach and Yuliy, Sannikov, 2012, Macroeconomics with Financial Frictions: A Survey, Working Paper, Princeton University, March, http://scholar.princeton.edu/markus/announcements/macroeconomics-financial-frictions
Campbell, John, 1995, Some lessons from the yield curve, Journal of Economic Perspectives, 9(3), 129–152.
Castren, Olli, John, Fell and Nico, Valckx, 2009, Cross-border macro stress-testing: progress and future challenges for the EU, in: M., Quagliariello (ed.), Stress-testing the Banking System: Methodologies and Applications, Cambridge University Press, ch. 15.
Center for Research in Securities Prices (CRSP), 2000, CRSP Data Description Guide for the CRSP US Stock Database and CRSP US Indices Database, Technical Manual, University of Chicago, www.crsp.com/documentation/product/stkind/data_descriptions_guide.pdf
CFA Institute, 2012, Global Investment Performance Standards: The GIPS Standards and Interpretations, Internet resource, accessed August 18, 2012, www.gipsstandards.org/standards/index.html
Champ, Norm, 2012, What SEC Registration Means for Hedge Fund Advisers, speech delivered May 11, 2012 to the New York City Bar, www.sec.gov/news/speech/2012/spch051112nc.htm
Chaplin, Geoff, 2010, Credit Derivatives: Trading, Investing, and Risk Management, Second edition, Wiley.
Chen, Long, David, Lesmond and Jason, Wei, 2007, Corporate yield spreads and bond liquidity, Journal of Finance, 72(1), 119–149.
Chernih, Andrew, Steven, Vanduffel and Luc, Henrard, 2006, Asset Correlations: A Literature Review and Analysis of the Impact of Dependent Loss Given Defaults, Working Paper, Katholieke Universiteit Leuven, November.
Chernobai, Anna S., Svetlozar, Rachev and Frank J., Fabozzi, 2007, Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis, Wiley.
Chernobai, Anna, P., Jorion and F., Yu, 2011, The determinants of operational risk in U.S. financial institutions, Journal of Financial and Quantitative Analysis, 46(6), 1683–1725.
Choo, ChunWei, 2005, The Knowing Organization: How Organizations Use Information to Construct Meaning, Create Knowledge, and Make Decisions, Oxford University Press.
Choudhry, Moorad, 2007, Bank Asset and Liability Management: Strategy, Trading, Analysis, Wiley Finance.
Cogneau, Philippe and Georges, Hübner, 2009, The 101 Ways to Measure Portfolio Performance, Technical Report, University of Liege, January.
Coleman, Thomas, 2012, Quantitative Risk Management: A Practical Guide to Financial Risk, Wiley Finance.
Committee of Sponsoring Organizations of the Treadway Commission (COSO), 1987, Report of the National Commission on Fraudulent Financial Reporting, Technical Report, October, www.coso.org/Publications/NCFFR.pdf
Committee of Sponsoring Organizations of the Treadway Commission (COSO), 1992, COSO Report: Internal Control – An Integrated Framework, Technical Report, www.coso.org/IC.htm
Committee of Sponsoring Organizations of the Treadway Commission (COSO), 2004, Enterprise Risk Management – Integrated Framework: Executive Summary, Technical Report, September.
Committee of Sponsoring Organizations of the Treadway Commission (COSO), 2009, Internal Control – Integrated Framework: Guidance on Monitoring Internal Control Systems, Technical Report, American Institute of CPAs (AICPA).
Committee on the Global Financial System (CGFS), 2005, Stress Testing at Major Financial Institutions: Survey Results and Practice, Technical Report, January, www.bis.org/publ/cgfs24.pdf
Committee on the Global Financial System (CGFS), 2011, Global liquidity – Concept, Measurement and Policy Implications, CGFS Publications No 45, Bank for International Settlements, November, www.bis.org/publ/cgfs45.htm.
Commodity Futures Trading Commission and Securities and Exchange Commission (CFTC-SEC), 2010, Findings Regarding the Market Events of May 6, 2010: Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, Technical Report, September, www.sec.gov/news/studies/2010/marketevents-report.pdf
Commodity Futures Trading Commission and Securities and Exchange Commission (CFTC-SEC), 2011, Reporting by Investment Advisers to Private Funds and Certain Commodity Pool Operators and Commodity Trading Advisors on Form PF, Federal Register, 76(221), November 16, 71128–71239, www.gpo.gov/fdsys/pkg/FR-2011-11-16/pdf/2011-28549.pdf
Cook, Timothy and Robert, Laroche, 1993, Instruments of the Money Market, Federal Reserve Bank of Richmond, www.richmondfed.org/publications/research/special_reports/instruments_of_the_money_market/index.cfm
Cope, Eric W., G., Mignola, G., Antonini and R., Uggocioni, 2009, Challenges and pitfalls in measuring operational risk from loss data, Journal of Operational Risk, 4(4), 3–27.
Coval, Joshua, Jakub, Jurek and Erik, Stafford, 2009, The economics of structured finance, Journal of Economic Perspectives, 23(1), 3–25.
Dai, Qiang and Kenneth, Singleton, 2003, Term structure dynamics in theory and reality, Review of Financial Studies, 16(3), 631–678.
Daníelsson, Jón, 2002, The emperor has no clothes: Limits to risk modelling, Journal of Banking and Finance, 26(7), 1273–1296.
Daníelsson, Jón, 2011, Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab, Wiley.
Der Kiureghian, Armen and Ove, Ditlevsen, 2009, Aleatoric or epistemic? Does it matter?Structural Safety, 31(2), 105–112.
Domanski, Dietrich, Ingo, Fender and Patrick, McGuire, 2011, Assessing global liquidity, BIS Quarterly Review, December, 57–71, www.bis.org/publ/qtrpdf/r_q1112.htm
Dow Jones Credit Suisse, 2012, Core Hedge Fund Indexes, Internet resource, accessed August 18, 2012, www.hedgeindex.com/hedgeindex/en/default.aspx?cy=USD
Duffie, Darrell and Kenneth, Singleton, 2003, Credit Risk: Pricing, Measurement, and Management, Princeton University Press.
The Economist, 2010, The gods strike back, February 11, www.economist.com/node/15474137/print
The Economist, 2012, The LIBOR scandal: the rotten heart of finance, July 7, www.economist.com/node/21558281/print
Elton, Edwin, Martin, Gruber, Stephen, Brown and William, Goetzmann, 2009, Modern Portfolio Theory and Investment Analysis, Wiley.
Embrechts, Paul and J., Neslehová, Quantitative Models for Operational Risk, www.math.ethz.ch/~baltes/ftp/OpRisk-talk.pdf
Engle, Robert, 2001, GARCH 101: The use of ARCH/GARCH models in applied econometrics, Journal of Economic Perspectives, 15(4), 157–168.
Fabozzi, Frank and Steven, Mann, 2011, The Handbook of Fixed Income Securities, McGraw Hill.
Federal Reserve Bank of New York (FRB-NY), 2012a, FX Volume Survey, Internet resource, downloaded July 11, 2012, www.newyorkfed.org/FXC/volumesurvey/
Federal Reserve Bank of New York (FRB-NY), 2012b, Intradaily Liquidity Flows, Report of the Payments Risk Committee, March, www.newyorkfed.org/prc/prc_120329.pdf
Financial Products Markup Language (FpML), 2011, FpML 5.2 Recommendation - February 28, 2011, Technical Document, February, www.fpml.org/spec/fpml-5-2-6-rec-2/
Fisher, Mark, 2001, Forces that Shape the Yield Curve: Parts I and II, Working Paper 2001-3, Federal Reserve Bank of Atlanta, March, www.frbatlanta.org/pubs/wp/working_paper_2001-3-abstract.cfm
Fisher, Mark, 2004, Modeling the term structure of interest rates: an introduction, Federal Reserve Bank of Atlanta Economic Review, third quarter, 41–62.
Fixler, Dennis J. and Teresa L., Weadock, 2006, Gross domestic product: revisions and source data, Survey of Current Business, 86(2), 11–15. www.bea.gov/scb/pdf/2006/02february/0206_gdp.pdf
Fleming, Michael, 2003, Measuring treasury market liquidity, Federal Reserve Bank of New York Economic Policy Review, September, 83–108, www.ny.frb.org/research/epr/03v09n3/0309flem.pdf
Flood, Mark, Allan, Mendelowitz and William, Nichols, 2012, Monitoring financial stability in a complex world, in: V., Lemieux (ed.), Financial Analysis and Risk Management: Data Governance, Analytics and Life Cycle Management, Springer Verlag, ch. 2, 15–46.
Foust, Dean and Aaron, Pressman, 2008, Credit scores: not-so-magic numbers, Business Week, February 7.
Frésard, Laurent, Christophe, Pérignon and Anders, Wilhelmsson, 2011, The pernicious effects of contaminated data in risk management, Journal of Banking and Finance, 35(10), 2569–2583.
Gapper, John, 2011, How to Be a Rogue Trader, Portfolio/Penguin Books.
Gates, Susan Wharton, Vanessa Gail, Perry and Peter M., Zorn, 2002, Automated underwriting in mortgage lending: good news for the underserved?Housing Policy Debate, 13(2), 369–391.
Getmansky, Mila, Andrew, Lo and Shauna, Mei, 2004, Sifting through the wreckage: lessons from recent hedge-fund liquidations, Journal of Investment Management, 2(4), 6–38.
Giesecke, Kay, 2004, Credit risk modeling and valuation: an introduction, in: D., Shimko (ed.), Credit Risk: Models and Management, Volume 2, Risk Books, 487–525.
Giesecke, Kay, 2009, An Overview of Credit Derivatives, Working Paper, Stanford University, March.
Giraud, Jean-Rene, 2005, Mitigating Hedge Funds' Operational Risks: Benefits and Limitations of Managed Account Platforms, Technical Report, EDHEC Business School, June.
Goetzmann, William, Jonathan, Ingersoll, Matthew, Spiegel and Ivo, Welch, 2007, Portfolio performance manipulation and manipulation-proof performance measures, Review of Financial Studies, 20(5), 1503–1546.
Gonzalez, Fernando, François, Haas, Ronald, Johannes, Mattias, Persson, Liliana, Toledo, Roberto, Violi, Carmen, Zins and Martin, Wieland, 2004, Market dynamics associated with credit ratings: a literature review, Banque de France Financial Stability Review, 4, 53–76.
Goodhart, Charles, 2008, Liquidity risk management, Banque de France Financial Stability Review – special issue on liquidity, 11, February, 39–44.
Gordy, Michael and Bradley, Howells, 2006, Procyclicality in Basel II: Can we treat the disease without killing the patient?Journal of Financial Intermediation, 15(3), 395–417.
Gorton, Gary, 2010, Slapped by the Invisible Hand: The Panic of2007, Oxford University Press.
Gup, Benton, 2012, Operational risk and large internal frauds at financial institutions, International Research Journal of Applied Finance, 3(7), 954–970.
Hanson, Samuel and Til, Schuermann, 2006, Confidence intervals for probabilities of default, Journal of Money, Credit, and Banking, 30(8), 2281–2301.
Harris, Larry, 2002, Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press.
Hasbrouck, Joel, 2007, Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, Oxford University Press.
Heber, Gerd, Asger, Lunde, Neil, Shephard and Kevin, Sheppard, 2009, Oxford-Man Institute's realized library, version 0.2, Oxford-Man Institute, University of Oxford.
Hedge Fund Operational Due Diligence: What Managers Need to Know, Hedge IT Blog, posted by Kaleigh Brousseau on November 11, 2010.
Hedge fund operational risk: Meeting the demand for higher transparency and best practice, 2006, The Bank of New York (David Aldrich) and Amber Partners, Alternative Investment Management Association Journal, at www.aima.org/en/knowledge_centre/education/aima-journal/past-articles/index.cfm/jid/EEB25D21-C625-4242-A5CA29556ADA3CBF
Hedge Fund Research (HFR), 2012, HFR Database, Internet resource, accessed August 18, 2012, www.hedgefundresearch.com/index.php
Hegde, Shantaram and John, McDermott, 2003, The liquidity effects of revisions to the S&P500 index: an empirical analysis, Journal of Financial Markets, 6(3), 413–459.
Hey, Tony, Stewart, Tansley and Kristin, Tolle, 2009, The Fourth Paradigm: Data-Intensive Scientific Discovery, Microsoft Research, http://research.microsoft. com/en-us/collaboration/fourthparadigm/
Hilbert, Martin and Priscila, López, 2012, The world's technological capacity to store, communicate, and compute information, Part I: results and scope, International Journal of Communication, 6, 956–979, http://ijoc.org/ojs/index.php/ijoc/article/view/1562
Hilscher, Jens, Robert, Jarrow and Donald, van Deventer, 2008, Measuring the risk: a modern approach, RMA Journal, July-August, 60–65.
Hong, Gwangheon and Arthur, Warga, 2000, An empirical study of bond market transactions, Financial Analysts Journal, 56(2), 32–46.
Hull, John, 2006, VAR versus expected shortfall, Risk Magazine, 19, 48–49.
Hull, John, 2012a, Risk Management and Financial Institutions, Wiley.
Hull, John, 2012b, Options, Futures, and Other Derivatives, Eighth edition, Prentice Hall.
Hunt, Robert, 2006, Development and regulation of consumer credit reporting in the United States, in: G., Bertola, R., Disney and C., Grant (eds.), The Economics of Consumer Credit, MIT Press, ch. 9, 301–345.
Institute of International Finance, 2011, Risk and IT Operations: Strengthening Capabilities, Technical Report, June, www.iif.com/regulatory/article+968.php
International Capital Markets Association (ICMA), 2012, Repo Market Surveys, Internet resource, accessed July 11, 2012, www.icmagroup.org/Regulatory-Policy-and-Market-Practice/short-term-markets/Repo-Markets/repo/
International Swap Dealers' Association (ISDA), 2002, 2002 ISDA Master Agreement, Technical Document, www.isda.org/publications/isdamasteragrmnt.aspx
International Swap Dealers' Association (ISDA), 2003, 2003 ISDA Credit Derivatives Definitions, Technical Document, www.isda.org/publications/isdacredit-deri-def-sup-comm.aspx
International Swap Dealers' Association (ISDA), 2012, OTC Derivatives Data Sources, Internet resource, accessed July 28, 2012, www2.isda.org/functional-areas/research/data-sources/
James, Jessica and Nick, Webber, 2000, Interest Rate Modelling, Wiley.
Jarrow, Robert, 2009, Credit risk models, Annual Review of Financial Economics, 1, September, 37–68.
Jarrow, Robert, 2011, Risk management models: construction, testing, usage, Journal of Derivatives, 18(4), 89–98.
Jarrow, Robert, 2012, Problems with Using CDS to Infer Default Probabilities, Working Paper, Cornell University, January, www.kamakuraco.com/Portals/0/Research/Implied7.20Default7.20Prob.pdf
Jobst, Andreas, 2010, The credit crisis and operational risk – implications for practitioners and regulators, Journal of Operational Risk, 5(2), http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1491193
Johnson, Simon and James, Kwak, 2009, Seduced by a model, New York Times: Economix, October 1, http://economix.blogs.nytimes.com/2009/10/01/seduced-by-a-model/
Jorion, Philippe, 2006, Value at Risk: The New Benchmark for Managing Financial Risk, Third edition, McGraw-Hill.
Kashyap, Anil and Jeremy, Stein, 2004, Cyclical implications of the Basel II capital standards, Federal Reserve Bank of Chicago Economic Perspectives, First Quarter, 18–31.
Knight, Frank, 1921, Risk, Uncertainty and Profit, Houghton-Mifflin.
Krishnamurthy, Arvind, 2002, The bond/old-bond spread, Journal of Financial Economics, 66(2-3), 463–506.
Kyle, Albert, 1985, Continuous auctions and insider trading, Econometrica, 53(6), 1315–35.
Kyle, Albert and Anna, Obizhaeva, 2011, Market Microstructure Invariants: Empirical Evidence from Portfolio Transitions, Working Paper, University of Maryland, December, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1978943
Lando, David, 2004, Credit Risk Modeling: Theory and Applications, Princeton University Press.
Langohr, Herwig and Patricia, Langohr, 2009, The Rating Agencies and Their Credit Ratings: What They Are, How They Work, and Why They are Relevant, Wiley.
Lewis, Michael, 2011, The Big Short, W. W. Norton.
Lipper TASS, 2012, Lipper TASS Web Tool, Internet resource, accessed August 18, 2012, http://tass.lipperweb.com
Livingston, Miles, Jie, Wei and Lei, Zhou, 2010, Moody's and S&P ratings: are they equivalent? Conservative ratings and split rated bond yields, Journal of Money, Credit and Banking, 42(7), 1267–1293.
Lo, Andrew, 2010, Hedge Funds: An Analytic Perspective, Princeton University Press.
Lo, Andrew and A. Craig, MacKinlay, 2012, A Non-Random Walk Down Wall Street, Princeton University Press.
Mackenzie, Donald, 2008, An Engine, Not a Camera: How Financial Models Shape Markets, MIT Press.
Malkiel, Burton, 2012, A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, Tenth edition, W. W. Norton.
Managed Funds Association (MFA), 2007, Model Due Diligence Questionnaire for Hedge Fund Investors, Internet resource, accessed August 18, 2012, www.managedfunds.org/wp-content/uploads/2011/06/Due-Dilligence-Questionnaire.pdf
Managed Funds Association (MFA), 2009, Sound Practices for Hedge Fund Managers: 2009 Edition, Technical Report, www.managedfunds.org/wp-content/uploads/2011/06/Final_2009_complete.pdf
Matz, Leonard, 2011, Monitoring and controlling liquidity risk, in: L., Matz and P., Neu (eds.), Liquidity Risk Management: A Practitioner's Guide to Global Best Practices, Wiley Finance, ch. 4, 66–99.
Matz, Leonard and Peter, Neu, 2011, Liquidity risk management strategies and tactics, in: L., Matz and P., Neu (eds.), Liquidity Risk Management: A Practitioner's Guide to Global Best Practices, Wiley Finance, ch. 5, 100–120.
McAleer, Michael and Marcelo, Medeiros, 2008, Realized volatility: a review, Econometric Reviews, 27(1-3), 10–45.
McCauley, Robert, 2001, Benchmark tipping in the money and bond markets, BIS Quarterly Review, March, 39–45, www.bis.org/publ/r_qt0103.htm
McNeil, Alexander, 1999, Extreme Value Theory for Risk Managers, Technical Report, ETH Zentrum, May, www.math.ethz.ch/~mcneil/ftp/cad.pdf
McNeil, Alexander, Rüdiger, Frey and Paul, Embrechts, 2005, Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press.
Medova, Elena A. and Berg-Yuen, P., 2008, Banking capital and operational risks: comparative analysis of regulatory approaches for a bank, Journal of Financial Transformation, Capco Institute.
Mehra, Yash, 2006, Inflation uncertainty and the recent low level of the long bond rate, Federal Reserve Bank of Richmond Economic Quarterly, 92(3), 225–253, www.rich.frb.org/publications/research/economic_quarterly/2006/summer/pdf/mehra.pdf
Mengle, David, 2007, Credit derivatives: an overview, Federal Reserve Bank of Atlanta Economic Review, 92(4), Fourth Quarter, 1–24.
Moody's, 2009, Rating Symbols and Definitions, Technical Report, June.
Moody's, 2011, Corporate Default and Recovery Rates, 1920-2010, Technical Report, February.
Mora, Nada, 2012, What determines creditor recovery rates?Federal Reserve Bank of Kansas City Economic Review, Second Quarter, 1–31.
Mulherin, J. Harold, Jeffry, Netter and James, Overdahl, 1991, Prices are property: the organization of financial exchanges from a transaction cost perspective, Journal of Law and Economics, 34(2), 591–644.
National Association of Realtors (NAR), 2005, Home Price Analysis for Las Vegas-Paradise, Technical Report, September/October, www.realtor.org/research.nsf/pages/anti-bubblereports
Office of the Comptroller of the Currency (OCC), 2001, Rating Credit Risk, Comptroller's Handbook, April.
Peter, Christian, 2006, Estimating loss given default – experiences from banking practice, in: B., Engelmann and Rl., Rauhmeier (eds.), The Basel II Risk Parameters: Estimation, Validation, and Stress Testing, Springer Verlag, ch. 8, 143–174.
Poon, Ser-Huang and Clive, Granger, 2003, Forecasting volatility in financial markets: a review, Journal of Economic Literature, 41(2), 478–539.
Poon, Ser-Huang and Clive, Granger, 2005, Practical issues in forecasting volatility, Financial Analysts Journal, 61(1), 45–56.
Pritsker, Matthew, 2006, The hidden dangers of historical simulation, Journal of Banking and Finance, 30(2), 561–582.
Risk Metrics Group, 2007, Credit Metrics, Technical Document, www.msci.com/resources/technical_documentation/CMTD1.pdf
Roll, Richard, 1984, A simple implicit measure of the effective bid ask spread in an efficient market, Journal of Finance, 39, 1127–1139.
Rösch, Daniel and Harald, Scheule, 2006, A multi-factor approach for systematic default and recovery risk, in: B., Engelmann and Rl, Rauhmeier (eds.), The Basel II Risk Parameters: Estimation, Validation, and Stress Testing, Springer Verlag, ch. 6, 105–125.
Rowe, David, 2002, Basel II and procyclicality, Risk, 15(11), www.dmrra.com/riskmag.php
Rowe, David, 2003a, The role of correlation, Risk, 16(1), www.dmrra.com/riskmag.php
Rowe, David, 2003b, Don't count on buffers, Risk, 16(2), www.dmrra.com/riskmag.php
Rowe, David, 2003c, No cure through the cycle, Risk, 16(3), www.dmrra.com/riskmag.php
Rowe, David, 2003d, Is 8% for all seasons, Risk, 16(4), www.dmrra.com/riskmag.php
Rowe, David, 2009, To VaR or not to VaR?Insurance Risk and Capital, Internet resource, March, www.dmrra.com/otherarticles.php
Rowe, David, 2012, Not all hedges are created equal, Risk, March, 58.
Rubinstein, Mark, 2006, A History of the Theory of Investments: My Annotated Bibliography, Wiley.
Saunders, Anthony and Linda, Allen, 2010, Credit Risk Management In and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Wiley Finance.
Saunders, Anthony and Marcia, Cornett, 2010, Financial Institutions Management: A Risk Management Approach, McGraw-Hill.
Scharfman, Jason A., 2008, Hedge Fund Operational Due Diligence: Understanding the Risks, Wiley Finance.
Schmidt, Anatoly, 2011, Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies, Wiley Finance.
Schönbucher, Philipp, 2003, Credit Derivatives Pricing Models: Model, Pricing and Implementation, Wiley.
Schuermann, Til, 2005, What do we know about loss given default? in: E., Altman, A., Resti and A., Sironi (eds.), Recovery Risk: The Next Challenge in Credit Risk Management, Risk Books.
Securities and Exchange Commission (SEC), 2011, 17 C.F.R. Parts 275 and 279, Release No. IA-3221; File No. 87-36-10, July 21, 2011, www.sec.gov/rules/final/2011/ia-3221.pdf
Securities and Exchange Commission (SEC), 2012, Credit Rating Agencies – NRSROs, Internet resource, accessed July 28, 2012, www.sec.gov/answers/nrsro.htm
Securities Industry and Financial Markets Association (SIFMA), 2012, Statistics, Internet resource, accessed July 11, 2012, www.sifma.org/research/statistics.aspx/
Senior Supervisors Group (SSG), 2010, Observations on Developments in Risk Appetite Frameworks and IT Infrastructure, Technical Report, December, www.newyorkfed.org/newsevents/news/banking/2010/an101223.pdf
Shaw, Helen, 2006, The trouble with COSO, CFO Magazine, March 15, www.cfo.com/article.cfm/5598405/c_2984409/?f=archives
Sheppard, Kevin, 2012, Financial Econometric Notes, manuscript, Oxford University, November, accessed December 16, 2012, www.kevinsheppard.com/images/c/c0/Financial_Econometrics_2012-2013.pdf
Shleifer, Andrei and Robert, Vishny, 2011, Fire sales in finance and macroeconomics, Journal of Economic Perspectives, 25(1), 29–48.
Standard & Poor's (S&P), 2012a, Standard & Poor's Ratings Definitions, Technical Report, June.
Standard & Poor's (S&P), 2012b, Index Mathematics Methodology, Technical Report, January.
Stephanou, Christou, 2004, Measuring and Managing Operational Risk under Basel II, Presentation, The World Bank Risk Management Workshop, Colombia.
Stigum, Marcia and Anthony, Crescenzi, 2007, Stigum s Money Market, Fourth edition, McGraw Hill.
Stowell, David, 2010, An Introduction to Investment Banks, Hedge Funds, and Private Equity: The New Paradigm, Academic Press.
Sufi, Amir, 2009, The real effects of debt certification: evidence from the introduction of bank loan ratings, Review of Financial Studies, 22(4), 1659–1691.
Taksler, Glen, 2008, Credit Default Swap Primer, Fourth edition, Technical Report, Bank of America Securities, May.
Taylor, Stephen, 2005, Asset Price Dynamics, Volatility and Prediction, Princeton University Press.
Tirole, Jean, 2011, Illiquidity and all its friends, Journal of Economic Literature, 49(2), 287–325.
Treacy, William and Mark, Carey, 2000, Credit risk rating systems at large US banks, Journal of Banking and Finance, 167–201.
Tsaig, Yaakov, Amnon, Levy and Yashan, Wang, 2011, Analyzing the impact of credit migration in a portfolio setting, Journal of Banking and Finance, 35(12), 3145–3157.
Tsay, Ruey S., 2010, Analysis of Financial Time Series, Wiley.
UBS, 2008, Shareholder Report on UBS's Write-Downs, Technical Report, April 18, 2008, www.ubs.com/1/ShowMedia/investors/agm?contentId=140333name=080418 ShareholderReport.pdf