October 2011
Intermediate to advanced
429 pages
11h 40m
English
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CHAPTER 16
What Does a Risk Manager Do?—Outside VaR
There are three standard middle-office tools for exploring the region beyond the value at risk (VaR) boundary. Most VaR breaks are ordinary days, just with bigger losses. But something like one out of 10 of them are extraordinary events: regime changes, Black Swans, crises, crashes, panics, whatever. These days are your biggest dangers and opportunities. You generally don't get a chance to think a lot while they are occurring, and in any case human instincts frequently urge exactly the wrong actions. So risk managers developed tools to use on calm days in order to prepare for the storms, and guide decisions during the storms.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.