Models and Risk - Blog

It is easy to criticise risk forecasting, but it's rather pointless unless one can come up with proposals.

Backtesting is the magical technique that tells us how well a forecast model works.

Epidemics and financial crises are different beasts.

Corona est sans précédent et je suis enclin à permettre aux gouvernements une grande latitude.

Corona is unprecedented and I am willing to give government's plenty of latitude.

We are bombarded by Corona epidemiology analysis.

Many comparisons have been made between the coronavirus crisis and the global systemic crisis in 2008.

Artificial intelligence, such as the Bank of England Bot, is set to take over an increasing number of central bank functions.

Financial institutions are increasingly outsourcing information technology to the cloud, motivated by efficiency, security, and cost.

The type of risk we most care about is long-term, what happens over years or decades, but we tend to manage that risk over short periods.

As central banks accumulate ever more job functions, their reputation risk increases.

In all the disappointments about Brexit, one stands out for me — the inability of the libertarian Brexiteers to outline a coherent vision of what Brexit will accomplish.

Imagine the day when BoB — the Bank of England bot — comes to life, the artificial intelligence engine designed to keep us safe from the evils of the financial system.

The financial markets did not have a good 2018 as the media kept on reminding us:

The riskiest year in human history was 1962.

If private cryptocurrencies were to find widespread economic use the result would be increased financial instability, inequality, and social instability.

On top is the authority in charge of fiscal policy, followed by those running monetary, microprudential, and finally macroprudential policies.

Julia, MATLAB, Python and R are among the most commonly used numerical programming languages by economic researchers.

Are cryptocurrencies the future of money, Ponzi schemes, speculators dream, freedom or just a cult?

Reliable indicators of future financial crises are important for policymakers and practitioners.

Do cryptocurrencies live up to the hype?

Cryptocurrencies are supposedly a new and superior form of money and investments – the way of the future.

The stock market had a mini crash yesterday.

Artificial intelligence is increasingly used to tackle all sorts of problems facing people and societies.

Medieval mapmakers noted the risk of an unknown kind by “here be dragons”.

Two widely used indicators of financial risk, the VIX index and the ECB's CISS are at a historical low.

European banks and sovereigns are much more closely linked than American banks and their government.

The new postcrisis financial regulations, for example Basel III, have the unfortunate side effect of favouring the largest banks relative to the smaller.

The European Central Bank has an indicator of systemic risk called, CISS.

Regulations change behaviour and outcomes.

I did a seminar at the University of Iceland.

Brexit is likely to cause considerable disruption for financial markets.

Keynote speech at the bank of Lithuania on "Should macroprudential policy target real estate prices?"

The Icelandic government announced today it it lifting its capital controls.

I really want to like Julia.

I have been struggling to make sense of the Brexit debate.

I got to present on the systemic risk consequences of Brexit in a SUERF conference.

Discretionary macroprudential policies aim to be countercyclical by adjusting risk-taking across the financial cycle.

Political risk is a major cause of systemic financial risk.

Investor demand for bonds is very high.

Brexit creates new opportunities and new risks for the British and EU financial markets.

The threat to the financial system posed by cyber risk is often claimed to be systemic.

A Bloomberg piece that cites our work, Big Banks' Risk Does Not Compute.

At the risk of overgeneralising, Brexiteers have two, rather different world views — 1950s Britain or the hip, modern, perhaps like Hong Kong.

One often hears from Brexit supporters that too many regulations come from Brussels, that it would be much better if we could regulate ourselves.

I just spotted an interview with the IMF representatives to Iceland about their policy prescriptions, and it did make for an interesting reading.

I got to address the annual meeting of Business Iceland today on the topic of "On fiscal and monetary policy in Iceland".

Macroprudential policy has become increasingly popular in the aftermath of the Global Crisis, but it remains controversial.

Suppose one cares about tail risk, what is the best way to estimate it?

Why do the regulatory authorities seemingly fall into the category of model believers, if not quite to the view that there must be one true model?