Risk Professional - October 2009

Contents

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Features

21 The Flaws of Treasury's PPIP 

The Public-Private Investment program for relieving U.S. banks of their toxic assets makes lofty promises but will have difficulty delivering on all of them, writes Marco Folpmers of Capgemini Consulting

50 Japan's Lost Decade 

A look back at the Japanese economic downturn and stagnant financial markets of the 1990's; a consideration of parallels between Japan then and the U.S. now, and of how the lessons might be applied.

62 Reassessing Risk Models 

Despite advances in risk processes and analysis, the financial crisis has cast a cloud over the future of quantitative modeling, which calls for a more cautious approach.

Departments

1 From the Editor 

Risk Management for Everyone

6 Contributors

7 Upfront 

Bank of America charts a new course with a new CRO and new blood on its board;  PIMCO's Paul McCulley on the crisis' causes, regulatory responses and green shoots; Riskdata's Olivier Le Marois on preparing for the inevitable; and more.

18 Management: Culture-Building

Involving everyone in risk management requires more than mere organizational tweaks

43 Risk Techniques: Valuing CLO's 

Stochartic and static default models are among the most common methods; each has strengths and weaknesses.

54 Technology: Cybersecurity Risks

As criminals become more sophisticated, vulnerabilities to cyberattacks increase, along with the need for effective and appropriate risk models.

58 Academic Research: The Search for (Useful) Disaster Indicators

How the lifes of volatility skew, rising correlations and abnomally high returns can help investors and risk managers steer clearn of future crises.

64 Governance: External Auditing 

Outisde auditors have plenty of offer boards - if only they'd ask.

68 Book Review 

Audrey Lupsha critiques Douglas Hubbard's prescriptive "The Failure of Risk Management: Why It's Broken and How to Fix It."