Biggest growth areas in Risk?

[Ari]

Hello world!

I'm wondering where the biggest areas of "growth" are in the field of risk management? By growth, I don't necessarily mean sectors where the most employment opportunities are, but I'm more so curious about the outstanding problems in risk management (or at least the more popular ones if the list is large)? Where are the obvious holes/uncertainties in the practice of calculating risk? Do we feel like we really understand/believe the VaR value assigned to a particular asset/opportunity, or is there still tons of error/uncertainty associated with those measurements?

Are there methods to double check that the calculation of VaR is reflecting reality?
e.g. 1) if the VaR for opportunity X is a million dollars at the 1% level and 100 banks engage in the same opportunity, is the collective loss of those banks 1 million dollars?
e.g. 2) if your bank calculates the VaR to be X +/- Y, does this answer agree with a competing bank's calculation of VaR within error for the same opportunity?

Wondering if a couple experienced Risk professionals can jump in on this thread.

Ari

 

[Tom Maloney]

Is your question about risk, or VaR? VaR is only one measure of risk. In particular, it is an order statistic. There are various sources of error in estimates of the statistic from (1) the valuation model(s) used for the asset(s), and (2) the data used as input to the valuations. If you understand these two categories of error, and understand statistical estimation error in general, then you understand VaR estimation error.

 

[Ken Abbott]

VaR may not be dead, but it's definitely coughing up blood. It will be supplanted as a reg measure by ES. That said, with banks de-levered and portfolios de-risked, measures of daily trading risk aren't nearly as important as they once were.

It's all about stress testing on the banking risk side, and particularly with respect to the many models used in the CCAR process.

 

[Dweeb]

VaR may not be dead, but it's definitely coughing up blood. It will be supplanted as a reg measure by ES. That said, with banks de-levered and portfolios de-risked, measures of daily trading risk aren't nearly as important as they once were.

It's all about stress testing on the banking risk side, and particularly with respect to the many models used in the CCAR process.

I wonder what role big data and AI will eventually play in bank risk measures.

 

[liuming]

so shall we move concentration from risk measures to machine learning stuff?

 

[O. Obua Timothy]

Hello world!

I'm wondering where the biggest areas of "growth" are in the field of risk management? By growth, I don't necessarily mean sectors where the most employment opportunities are, but I'm more so curious about the outstanding problems in risk management (or at least the more popular ones if the list is large)? Where are the obvious holes/uncertainties in the practice of calculating risk? Do we feel like we really understand/believe the VaR value assigned to a particular asset/opportunity, or is there still tons of error/uncertainty associated with those measurements?

Are there methods to double check that the calculation of VaR is reflecting reality?
e.g. 1) if the VaR for opportunity X is a million dollars at the 1% level and 100 banks engage in the same opportunity, is the collective loss of those banks 1 million dollars?
e.g. 2) if your bank calculates the VaR to be X +/- Y, does this answer agree with a competing bank's calculation of VaR within error for the same opportunity?

Wondering if a couple experienced Risk professionals can jump in on this thread.

Ari

 

[O. Obua Timothy]

Take a look at the site bellow,it might give you some insight, it discusses risk management issues, challenges and tips!

Risk management issues, challenges and tips - Help Net Security