Concentration risk is a term that is used frequently in financial institutions to describe a risk that is significantly greater than others; for example, lending a high amount of …
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Category Posts
Enterprise risk management & handling concentration risk
Measuring uncertainty in economics: chicken or egg?
Conventional wisdom has long held that uncertainty is a cause of weakening in an economy. The theory goes that uncertainty first causes people and companies wait and see before …
Sensitivity analysis: one at a time or all together?
The whole is greater than the sum of the parts, say Aristotle and Gestalt psychology. The whole effect of combined factors of a model in terms of sensitivity may also be greater …
Uncertainty analysis & Monte Carlo methods
Uncertainty analysis is often a prominent part of studies for sectors such as the environment. The uncertainty itself is determined by a number of elements.
Can back-testing improve your strategic risk management?
Back testing is a favorite with those who want to test out a plan for the future with real data. The real data for the future are not (of course) yet available, however the data …
Risk management & VaR: not safe for everybody?
Value at Risk (VaR) rose to fame in answer to a number of financial disasters, including the 1998 failure of Long Term Capital Management. Much of the criticism at the time was …
Measuring uncertainty & understanding propagation
I used to be uncertain, but now I’m not so sure. Whatever the cause, uncertainty is a fundamental part of the real world and has to be dealt with. By way of a definition, …
When multi-attribute decision analysis needs Monte Carlo
Multi-attribute decision analysis (MADA) is by definition a complex matter. Trying to balance or optimize a number of criteria at the same time in order to make a decision is …