White Papers

Open Risk White Paper 1: Revisiting Simple Concentration Indexes

We review the definitions of widely used concentration metrics such as the concentration ratio, the HHI index and the Gini and clarify their meaning and relationships. This new analytic framework helps clarify the apparent arbitrariness of simple concentration indexes and brings to the fore the underlying unifying concept behind these metrics, thereby enabling their more informed use in portfolio and risk management applications. We also propose that the sensitivity of concentration indexes to growing concentration should be a defining criterion for adopting an index and explore the sensitivity of common indexes to changing portfolio concentrations. We show that this sensitivity can vary significantly between indexes for parametric families of portfolio distributions and hence selecting and using a simple concentration index should take this aspect carefully into consideration

Criteria for identifying simple, transparent and comparable securitisations

(See BIS D304)

Our view is that securitisation is fundamental financial technology and there is no intrinsic technical reason why it could not be harnessed to best serve the functioning of modern economies.

Open Risk Presentation summarizing the Public Beta Phase

Overview of the motivation for initiating Open Risk and the solutions being delivered in the current phase.

• Venue: Online
• Location: The world
• Time: September 18th 2014
• Link to presentation: Open Risk Overview

The rationale for continuing with internal capital models in the Basel 3 world

Overview of the challenges and opportunities offered by internal capital models (economic capital models) in the post-crisis era. Conference Presentation given at:

• Venue: 2nd Annual Capital Modelling under Basel III (Marcus Evans Conference)
• Location: London
• Time: January 28th 2014
• Link to presentation: Local file