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Post-crisis financial risk management: Some suggestions
Journal of Risk Management in Financial Institutions,
3
(2),
148-155
(2010)
Abstract
This paper argues the case that, when it comes to the management of financial risk, it is essential to provide interpretative models of reality (data do not ‘speak by themselves’); that these interpretative models are not unique; that too little attention has been devoted to explaining rather than describing; and that the existence of a number of competing views of the world can give rise to co-ordination among traders. The implications of this for the distribution of returns are highlighted. The limits of purely statistical descriptions of risk in terms of marginal or joint distributions of risk factors are also discussed.
Keywords: risk management; co-ordination; herding; bubbles; return distributions
The full article is available to subscribers to the journal.
Author's Biography
Riccardo Rebonato is Global Head of Market Risk and Global Head of the Quantitative Research Team at RBS, a Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School). He sits on the Board of Directors of ISDA and on the Board of Trustees for GARP. He holds doctorates in nuclear engineering and solid state physics and was a research fellow in physics at Corpus Christi College, Oxford, UK. He is the author of the books Plight of the Fortune Tellers — Thoughts on the Quantitative Management of Financial Risk (2007), Volatility and Correlation in Option Pricing (1999, 2004), Modern Pricing of Interest-Rate Derivatives (2002) and Interest-Rate Option Models (1996, 1998). His papers on finance have been published in several academic journals.
Citation
Rebonato, Riccardo (2010, March 1). Post-crisis financial risk management: Some suggestions. In the Journal of Risk Management in Financial Institutions, Volume 3, Issue 2. https://doi.org/10.69554/MICA2640.
© Henry Stewart
Publications LLP
Publications LLP