My Latest Posts
When Rates Rise <- FT.com
SEPTEMBER 9, 2015
The Financial Times posted a great piece covering the impact rising rates: The most powerful central bank in the world is considering whether to raise its record-low interest rates for the first time in nearly a decade. Even before the... [Continue reading]
Core beta factor comparison redux
JANUARY 19, 2015
The OCC recently published its Fall 2014 Semiannual Risk Perspective. One highlight in the document was information the OCC compiled from supervisory reviews performed in 4Q 2013 and 1Q 2014. The OCC's goal was to collect and analyze the range... [Continue reading]
Is EVE-at-risk a useful management tool?
JANUARY 12, 2015
I don't think anyone, especially those outside the ALM and IRR-measurement world, would classify EVE-at-risk as a "light" subject. Indeed most discussions about EVE-at-risk quickly become multi-layered and mired in nuance. Small wonder that most bankers spend only a short... [Continue reading]
Conducting your own independent review
JANUARY 6, 2015
The best part of the the FDIC's most current Supervisory Insights is a one page example "Step-by-Step Process for Performing an In-House Independent Review of an IRR Management System." I've extracted a copy of the page and linked to it... [Continue reading]