Sovereign solvency risk and financial stability

Posted on 31. Jan, 2010 by Jean Jacques Ohana in Weekly Focus

Since the banking system collapsed in September 2008, private and corporate debts have been replaced by public debt. Since then, sovereign solvency risk has become investors’ major concern, provoking successive dramatic surges in government interest rates: Greece, Portugal and Spain… After the latter countries, which country will be next to be downgraded? The risk concerns [...]

Financial markets and industrial cycle

Posted on 29. Jan, 2010 by Jean Jacques Ohana in Weekly Focus

Global economy is so endogenous that financial markets are good predictors of the global industrial cycle. Indeed, when cyclical assets move in trend they interact with the real economy in a self fulfilling process. As cyclical assets rise they induce a boost in global confidence of companies and consumers, then stimulating the economy. On the [...]

Beyond VaR, the stress tests illusion

Posted on 25. Jan, 2010 by Jean Jacques Ohana in Weekly Focus

The failure of VaR as a risk measure
The Value at Risk has been subject to growing and legitimate criticism among bankers and academics. Indeed, the VaR represents a quantile of the distribution of losses related to a financial asset or a global portfolio for a certain time horizon. For instance, the daily VaR 95% represents [...]

Logique financière : fausses croyances et vrais problèmes

Posted on 22. Jan, 2010 by Riskelia in Weekly Focus

Par Christophe Moussu, Professeur à l’ESCP Europe
Pas un jour, pas une heure ne se passe, sans que la logique financière ne soit incriminée. Je reprendrai la phrase en disant que pas un jour, pas une heure ne passe sans que la logique financière ne soit bafouée. En effet, ce que l’opinion publique condamne, ce n’est [...]

Intervention dans La Tribune

Posted on 17. Jan, 2010 by Riskelia in Presse

Jean-Jacques était invité par Eric Benhamou à réagir aux propos de Mario Draghi, président du Conseil de stabilité financière en marge d’une réunion de la BRI.
Pour lire l’article sur le site de La Tribune, cliquez ici.

Drawing lessons from Harvard University risk management failure

Posted on 11. Jan, 2010 by Jean Jacques Ohana in Weekly Focus

In December 2009, Harvard University revealed one billion USD of losses coming from the unwinding of forward swaps (Harvard Swaps Are So Toxic Even Summers Won’t Explain). In 2004, while Lawrence Summers was at the head of the university, Harvard set up a long term hedging strategy to secure a fixed rate on its debt [...]

Where do we stand in Risk Aversion ?

Posted on 08. Jan, 2010 by Jean Jacques Ohana in Weekly Focus

During the financial crisis of 2007 and 2008, Risk Aversion had reached extreme levels never seen since 1929. It now stands at unprecedented low levels. Risky asset classes are likely to experience a significant correction when players reprice risk in the equities, credit and commodities complex.
The risk may be grasped analytically through an analysis of [...]

La gestion des risques : sujet de connaissance scientifique ou valeur morale ?

Posted on 04. Jan, 2010 by Steve Ohana in Weekly Focus

La crise financière récente est d’abord une crise cognitive : les institutions financières ont failli car elles ont cru trop bien connaître les risques qu’elles encourraient.
Au cours des quinze dernières années, la gestion des risques de marché s’est érigée en véritable science, portée par les avancées apparemment séduisantes de ce qu’il est convenu d’appeler l’ « ingénierie financière ». [...]

Repenser la gestion des risques : le Risk Management 2.0

Posted on 02. Jan, 2010 by Steve Ohana in Weekly Focus

Le risk management repose aujourd’hui sur des mesures statistiques des risques combinant une analyse actuarielle des engagements au passif et une étude statistique des pertes potentielles des actifs financiers. Ces mesures de risque jouent un rôle essentiel car elles sont garantes de toutes les structures financières : assureurs, banques commerciales, banques de marché et de financement, [...]