The Present and Future of VaR, EaR Systems (First half)

Overview

Numerical Technologies researches and develops financial risk management systems. Many Japanese financial institutions have adopted our CreditBrowser® credit risk management system, our PortfolioBrowser® integrated (market and credit) risk management system, and our Altitude® asset liability management system. We are therefore in a position where we can support risk management at financial institutions from behind the scenes. Some of these financial institutions have used the EL, UL methods for more than 10 years and have gained experience in operating the systems; so now is a good time for an overview of movements in risk management systems, ahead of the new BIS regulations. This seminar covered a wide range of themes from the conditions of today’s VaR and EaR systems to the societal effects the new BIS regulations. We hope that addressing risk management will be of help to managers at financial institutions.

Lecture titles

Already 10 years since adoption of VaR Risk management research is a standard science Risk management for daily operations To know that some things are unknowable Basic theory behind risk management The worldview assumed by the VaR model Realizing a more comprehensive risk management structure

Gimmicks behind the correlation effect How VaR models are used Systems becoming more highly functional Troubling calculation accuracy problems The societal effects of the new BIS regulations Management characteristics and risk management Clear and present risk Risk management from the manager's point of view Conditions for new technology to become widely used

Handouts distributed on the day of the seminar

These materials include the 27-page A4 size materials distributed that day plus additional notes.
PDF 848KB

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To obtain copies of documents

Those wishing to obtain a copy of these documents should contact Numerical Technologies via email.

Notice

Please refer to the page about the ALM/risk management seminar held on Dec. 8, 2005 for the latter half of the main document.