Archive for May 4th, 2008

Concepts and Measurement of Risk - Article by Borio, Furfine, Lowe

Sunday, May 4th, 2008

Claudio Borio, Craig Furfine and Philip Lowe discuss concepts of risks in their article "Pro-cyclicality of the financial system and financial stability: issues and policy options": They distinguish several types of risk: expected and unexpected losses (in the statistical sense) “Expected losses” refer to the average or mean losses anticipated over a particular ...

Subprime Losses

Sunday, May 4th, 2008

This table summarizes the losses by banks and securities firms as a result of the subprime crisis. Source: Bloomberg. If you are faced with a question on how to rank the losses resulting of the subprime crisis (see video here, via Bayesian Heresy), you might want to have the right ...