Risk Management from a Time Perspective
LML Resident Fellow Ole Peters participated in the Parmenides Foundation’s workshop on ‘Systemic Risk and Regulatory Market Risk Measures’.
The a purposs of the workshop is the argument that has flared up recently in academic circles around Expected Shortfall, advocated by the Basel Committee as the new global market risk measure. The argument is centered around the conflicting criteria concerning risk measures, and the inevitable tension arising from the impossible task of reducing the huge amount of information, values and interests in a bank’s position to a single number. Participants will discuss the various aspects of market risk, including the regulatory considerations behind the planned change. In addition to pondering the relative merits and shortcomings of the different risk measures, the wider context of systemic risk will also be considered.
The workshop is supported by the Institute for New Economic Thinking, grant ID: INO1200019.
Ole Peters gave a talk on ‘Risk Management from a Time Perspective’.