Limit frameworks are fundamental tools for risk management A Limit Framework is a set of policies used by financial institutions (or other firms that actively assume quantifiable risks) to govern in a quantitative manner the maximum risk exposure permitted for an individual, trading desk, business line etc. Why do we […]
Concentration Risk
12 posts
Release of version 0.4 of the Concentration Library adds Geographic / Industrial concentration indexes Further building out the OpenCPM set of tools, we release version 0.4 of the Concentration Library, a python library for the computation of various concentration, diversification and inequality indices. The below list provides documentation URL’s for […]
Release of version 0.3 of the Concentration Library Further building out the OpenCPM set of tools, we release version 0.3 of the Concentration Library. This python library for the computation of various concentration, diversification and inequality indices. The below list provides documentation URL’s for each one of the implemented indexes […]
Top 10 Risk Manual Articles The current list of Top 10 Risk Manual Articles, sorted by reader popularity covers a range of topics in risk management. External Fraud, (Operational Risk) Herfindahl-Hirschman Index, (Concentration Risk) Hannah-Kay Index, (Concentration Risk) Concentration Ratio, (Concentration Risk) Granularity Adjustment, (Concentration Risk) Business Execution, (Operational Risk) […]
Concentration Risk Management is a staple of risk management. OpenRisk developed a unique and novel set of risk management resources to assist with building in-house knowledge for managing credit concentration risks. Resources range from courses and online manuals to open source calculators and mobile eLearning games. In this post we […]
Revisiting simple concentration indexes Our white paper “Revisiting simple concentration indexes” reviews the definitions of widely used concentration metrics such as the concentration ratio, the HHI index and the Gini and clarify their meaning and relationships. This new analytic framework helps clarify the apparent arbitrariness of simple concentration indexes and […]
Concentrating on Concentration Risk Senior economists such as Ben Bernanke were still studying the Great 30’s Depression when the financial crisis struck in full force circa 2007. Given the complexity of the modern economic and financial landscape compared to the blessed good old days – we have no reports of […]
FuriousBanker(TM) helps you learn risk management concepts in a fun and engaging way. This educational game series for mobiles and tablets is developed by Open Risk to enable modern interactive elearning for people working (or aspiring to work) in financial risk management. The first episode sees FuriousBanker facing The credit […]
As part of the public beta testing programme, two new Open Risk Academy courses are accessible absolutely free (and with no strings attached :-). The courses are introductions to measuring credit name or sector concentrations in credit portfolios. They cover the following topics: The concept of credit name or sector […]
The rationale for continuing with internal capital models in the Basel 3 world Overview of the challenges and opportunities offered by internal capital models (economic capital models) in the post-crisis era. Conference Presentation given at: Venue: 2nd Annual Capital Modelling under Basel III (Marcus Evans Conference) Location: London Time: January […]
Building out further the Open Risk Academy curriculum around credit concentration management, we just added a course on sector concentration.
Just added a new course at the Open Risk Academy! The course covers name concentration risk measurement, chiefly the construction of suitable metrics based on portfolio data (Free registration is required for this course)
