BCBS 239. Principles for effective risk data aggregation and risk reporting Improving banks’ ability to aggregate risk data will improve their ability to resolve and survive future financial crisis. In crisis mode a bank’s ability to determine its true exposure quickly aggregated across asset and
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Bitcoin economics. Is Bitcoin a currency? Economists agree that by definition a currency must possess three qualities. It must serve as a medium of exchange, as a unit of account and a store of value. There has been a great deal of debate around the
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Bitcoin Bubbles – A look at pre and post bubble price behavior In a visual history of Bitcoin bubbles we looked price cycles in Bitcoin history and identified three distinct timelines where a Bitcoin price surge was followed by a steep price decline. The most
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Society of Actuaries Asset Liability Management training workshop. Dubai December 2014. Society of Actuaries and Alchemy Technologies are jointly organizing a full day Asset Liability Management (ALM) workshop in Dubai on 8th December 2014. Targeted at the actuarial community in the Middle East, Turkey, East Africa
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Estimating WordPress Traffic AWS EC2 medium servers can support. When we first shifted to AWS I wondered how much capacity we really needed and was there a mechanism that I could use to right size our servers? Given a choice between small, medium and large, which
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In search of the fastest landing page in the West. Two years ago when we completed our third pivot of this site we thought 900 ms for a primary landing page was fast. Since we serve content with a large number of images, inside pages
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Economic Capital – Everything you ever wanted to know but were afraid to ask. For the last seventeen years I have hated conversations with board members around economic capital. It is perfectly acceptable to discuss Market risk, Credit risk or interest rates mismatch in isolation
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Calculating Economic Capital – Using Leverage ratio So far we have presented two methods for estimating Economic Capital. The first uses the worst case change in Shareholders equity, the second the volatility of the same changes. The challenge with method one and two is that
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Calculating Economic Capital – Using Volatility In our first method presented earlier for calculating economic capital we used the historical worst case shift. In method two we use volatility. Method two is a variation designed to provide additional flexibility in estimating probability of capital shortfall in the
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Economic Capital Case Study – Method One Our alternate model for calculating Economic Capital comes in a multiple variation. We do a detailed presentation for method one, followed by smaller posts on each variation. Method one use changes in Shareholders equity as reported in publicly
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