Collection of important documents for risk management

[Joy Pathak]

wow this is amazing. Thanks Ken. Going to really help out people . This is top 3 things I have seen on this website.

 

[euroazn]

Wow, just saw this - thanks a bundle Ken!

Just a note to some people reading this, there is a mix of very cursory (eg the explanatory ppt) and overly-detailed (BASEL regualations). This is a fantastic starting point, but if you're interested in more you should definitely research for your own specific needs. (In particular, BASEL is generally split off into smaller, more readable and explained chunks.)

 

[Ken Abbott]

Wow, just saw this - thanks a bundle Ken!

Just a note to some people reading this, there is a mix of very cursory (eg the explanatory ppt) and overly-detailed (BASEL regualations). This is a fantastic starting point, but if you're interested in more you should definitely research for your own specific needs. (In particular, BASEL is generally split off into smaller, more readable and explained chunks.)

That's a reasonable assessment.

This is the superset of what I assign for the classes. I got tired of uploading it.

The challenge with DF and Basel-related documents is that they usually have a shelf life. I tend to post the official document and the most recent interpretation. For Basel stuff, the big consulting firms (EY, PwC, etc.) usually have good material. For DF, I look to the big US law firms (Davis Polk, Morrison. Foerster).

I'll try to update this from time to time.

 

[Ken Abbott]

Models

Here's a VaR lecture I gave at MIT. I only recently found out that they taped it.

http://ocw.mit.edu/courses/mathemat...-lectures/lecture-7-value-at-risk-var-models/

 

[Jorge Luis Montano Aguilera]

Give that man a cookie!

 

[Ken Abbott]

Give that man a cookie!

I love cookies.

 

[Andy Nguyen]

The video is embedded above as well.

 

[Ken Abbott]

Here's a very good piece from Brookings on the Chinese Financial System.

http://www.brookings.edu/~/media/re...-yan/chinese-financial-system-elliott-yan.pdf

 

[ccoinotna]

Here's a VaR lecture I gave at MIT. I only recently found out that they taped it.

Lecture 7: Value At Risk (VAR) Models | Video Lectures | Topics in Mathematics with Applications in Finance | Mathematics | MIT OpenCourseWare

Thanks, really useful and comprehensive.

 

[ExSan]

Here's a VaR lecture I gave at MIT. I only recently found out that they taped it.

Lecture 7: Value At Risk (VAR) Models | Video Lectures | Topics in Mathematics with Applications in Finance | Mathematics | MIT OpenCourseWare

thanks a lot for sharing !

 

[Ari]

Here's a very good piece from Brookings on the Chinese Financial System.

http://www.brookings.edu/~/media/re...-yan/chinese-financial-system-elliott-yan.pdf

Great lecture. Love the concern for that coughing student too. Such a caring risk manager!

 

[Marshall_Yu]

Really appreciated!!!

 

[Ken Abbott]

Really appreciated!!!

Happy to help.
I will be updating this soon.

 

[Ken Abbott]

Regulatory

 

[Andy Nguyen]

Already added it to the correct section for you. Thanks

 

[Ken Abbott]

Repo Handbook

 

[David.G]

London Whale papers (plus more)
EconPapers: Yale School of Management YPFS Cases

Thanks for these Ken, they're all really enjoyable reads

 

[Ken Abbott]

Quant

6.4. Introduction to Time Series Analysis
https://rafalab.github.io/pages/754/section-10.pdf

 

[Ken Abbott]

CCAR 2018 Instructions
https://www.federalreserve.gov/newsevents/pressreleases/files/bcreg20180201a2.pdf

 

[Ken Abbott]

Here is the MS Stuff spreadsheet many have asked about. I usually go through this in my classes. Please do not ask me to annotate it or provide additional details.