RMA Journal Articles
October:
Fair-value Accounting - Implications for Liquidity Risk Management
Applying fair-value accounting across the board without careful thought to the impact on volatility of reported earnings and book capital could inadvertently cause instability.
July: Competitive Implications of Holistic Balance Sheet Management
Compared to their larger brethren, the smaller banks have reaped greater benefits from the new tools for improving credit portfolio diversification.
June: Deposit Insurance and the Effective Pricing of Risk
Regulators could mitigate institutions’ excessive risk taking by adopting a risk-sensitive approach to pricing deposit insurance premiums. Those premiums would have to reflect the complex risks associated with trading and off-balance-sheet activities as well as traditional credit quality considerations.
February: Regulatory Capital, Models, and Holistic Balance Sheet Management (with Thomas Day)
By taking a holistic approach to balance sheet management, you can see beyond the hype of current rules and model-based approaches. This article details the principles of such an approach as well as the steps you can take to effectively manage complex balance sheet risks.
Applying fair-value accounting across the board without careful thought to the impact on volatility of reported earnings and book capital could inadvertently cause instability.
July: Competitive Implications of Holistic Balance Sheet Management
Compared to their larger brethren, the smaller banks have reaped greater benefits from the new tools for improving credit portfolio diversification.
June: Deposit Insurance and the Effective Pricing of Risk
Regulators could mitigate institutions’ excessive risk taking by adopting a risk-sensitive approach to pricing deposit insurance premiums. Those premiums would have to reflect the complex risks associated with trading and off-balance-sheet activities as well as traditional credit quality considerations.
February: Regulatory Capital, Models, and Holistic Balance Sheet Management (with Thomas Day)
By taking a holistic approach to balance sheet management, you can see beyond the hype of current rules and model-based approaches. This article details the principles of such an approach as well as the steps you can take to effectively manage complex balance sheet risks.
December:
Accounting Rules, Risk-based Pricing & Reporting Arbitrage (with Thomas Day)
Within virtually all commercial enterprises, there is a relentless tension between short-term earnings and long-term value creation. Left unchecked, this trade-off can be dangerous, given that investment and asset allocation decisions can easily be driven by short-term earnings targets, to the detriment of long-term value. This article considers some of the consequences and possible alternatives.
November: Credit Modeling Innovations (with Thomas Day)
A number of conceptual innovations have been central to the transformation of credit risk theory and practice over the past 25 years. The most significant of these contributions are reviewed in this article.
October: Credit Risk Management
The banking industry has undergone a remarkable transformation in the past 25 years.That transformation has included entry into areas once forbidden to banks by the restrictions of the Glass-Steagall Act. Equally dramatic, however, has been the revolution in how banks fulfill their traditional credit management role. This article will outline the history behind and future of this continuing revolution.
Within virtually all commercial enterprises, there is a relentless tension between short-term earnings and long-term value creation. Left unchecked, this trade-off can be dangerous, given that investment and asset allocation decisions can easily be driven by short-term earnings targets, to the detriment of long-term value. This article considers some of the consequences and possible alternatives.
November: Credit Modeling Innovations (with Thomas Day)
A number of conceptual innovations have been central to the transformation of credit risk theory and practice over the past 25 years. The most significant of these contributions are reviewed in this article.
October: Credit Risk Management
The banking industry has undergone a remarkable transformation in the past 25 years.That transformation has included entry into areas once forbidden to banks by the restrictions of the Glass-Steagall Act. Equally dramatic, however, has been the revolution in how banks fulfill their traditional credit management role. This article will outline the history behind and future of this continuing revolution.
March:
Meeting the Challenge of Economic Capital Implementation (with Dean Jovic)
Data fragmentation and model implementation are major technical obstacles to the success of economic capital. Both must be addressed if capital calculations are to be more than a costly but necessary exercise in regulatory compliance. In discussing approaches to meeting these challenges. Flexibility and transparency are key to success.
Data fragmentation and model implementation are major technical obstacles to the success of economic capital. Both must be addressed if capital calculations are to be more than a costly but necessary exercise in regulatory compliance. In discussing approaches to meeting these challenges. Flexibility and transparency are key to success.
May:
The Connectivity Revolution
In the aftermath of the dot-com implosion, it is tempting to relax and say, "Thank heavens, that’s over." It is precisely in times like this that such complacency is most dangerous.
In the aftermath of the dot-com implosion, it is tempting to relax and say, "Thank heavens, that’s over." It is precisely in times like this that such complacency is most dangerous.