Posts Tagged ‘Value-at-Risk’

The dark side (about extremes and where nobody knows)

Monday, October 24th, 2016

Written by Ruolin Wang, PhD Candidate at QUT

Two years ago, the world witnessed the disappearance of flight MH370. So far, we have not found it, for sure it is gone, together with 239 passengers on board. Every hour, thousands of airplanes fly towards their destinations above in the sky, but very few of them end up with the same fate as MH370. The prevailing but “not yet determined” explanation for the disappearance was that the pilot Zaharie hijacked the aircraft. Is it a risk of air travel? It is the airport control tower’s task to assess foreseeable risks and direct them around bad weather and air traffic to ensure a safe flight. However, as for aircraft hijacking, I am inclined to describe it using the word uncertainty. Why? To put it simply, risk is different from uncertainty.

(more…)

Measuring market risk using historical data: Bogus or not?

Thursday, May 17th, 2012

by Mei Lin Ker

Risk management has become the hottest topic ever in today’s turbulent economic climate. We are now still living in the shadows cast by the U.S. subprime crisis in 2008 which has shaken up the U.S. economy with its powerful negative aftershocks reverberating to the rest of the world. Till now, the U.S. economy is making baby steps in recovering from the economic devastation of the Global Financial Crisis (GFC). As big firms collapsed and mega bailouts ensued, people are asking the fundamental question: Why did this happen? Aren’t companies which use highly sophisticated risk management tools able to foresee the impending downfall and, with the information provided, aren’t their risk managers able to take preemptive measures accordingly? Is there then something wrong with these tools or the risk managers?

(more…)


Privacy | Copyright matters | Accessibility
Contact us | Feedback | Disclaimer
Opinions expressed in this blog are those of the individual contributors only.
QUT Home | Blog Home