Value at Risk: Implementing a Risk Measurement Standard

In the wake of recent failures of risk management, there has been a widespread call for improved quantification of the financial risks facing firms. At the forefront of this clamor has been Value at Risk. Previous research has identified differences in models, or Model Risk, as an important impediment to developing a Value at Risk standard. By contrast, this paper considers the divergence in a model's implementation in software and how it too, affects the establishment of a risk measurement standard. Different leading risk management systems' vendors were given identical portfolios of instruments of varying complexity, and were asked to assess the value at risk according to one common model, J.P. Morgan's RiskMetrics™. We analyzed the VaR results on a case by case basis, and in terms of prior expectations from the structure of financial instruments in the portfolio, as well as prior vendor expectations about the relative complexity of different asset classes. It follows that this research indicates the extent to which one particular model of risk can be effectively specified in advance, independent of the model's detailed implementation and use in practice. Key words: Risk Management, Financial Services, Model Management. This paper was presented at the Financial Institutions Center's October 1996 conference on "

Two Narratives about a Nineteenth-Century African American Settlement in Rural Maine

African Americans lived in the central Maine townships of Troy and Burnham in the nineteenth century, and a region there is said to contain their abandoned settlement. This is a study of two local narratives about the settlement. Older residents maintain an oral tradition largely based on field evidence, while in-migrants tell a very different story linked to national meanings and events. Using oral histories, documentary research, and archaeological survey work, our research has uncovered much of the story of the African American presence in these towns. While bearers of each narrative tradition feel theirs is an accurate historical account of the place, it appears that the older local narrative is more accurate than the story told by in-migrants. Traditions differ in their factual reliability for historians: the accuracy of a traditional narrative is strongly affected both by the purposes for which it is told, and the rhetorical devices used to achieve those purposes. The author is a retired professor emeritus of anthropology at Unity College. He is interested in historical patterns of land-human interactions (particularly in the northeastern United States), landscape archaeology, and the cultural construction of place in traditional texts. Inquiries are invited at [email protected]. This research was supported in part by an Odiorne grant from the Maine State Archives

Eternal Life and the Common Good: Why Loving One's Neighbour Matters in the Long Run

The duty to "love one's neighbour as oneself" has been carried over from the biblical tradition into subsequent moral and legal philosophy, as a helpful way of signalling commitment to the common good. When secular theorists appeal to this principle, they typically strip "love" of its emotional intensity and sacrificial dimensions and reduce the principle of "neighbour-love" to the negative duty of not interfering unduly with the rights and freedoms of others. But if we consider what Jesus understood neighbour-love to involve, as evident particularly in his dialogue with a Jewish lawyer in Luke 10:25-37, an altogether more demanding or thicker conception of the common good emerges

The limits of powerful states : international law's power to influence the behavior of strong states

While power has been thought to shape international law, we are seeing that international law itself has become a source of power for developing states. This occurs as developing states use international law as a means to affect regional change. Developing states’ reliance on international law, particularly as they form coherent foreign policy against a counter-colonial background, strengthens international law as a process by which developing states express their interests. Gradually, this strengthening snowballs to where it affects change in global international law processes and, at times, can act to constrain powerful states from acting in ways that directly reflect their personal interests. Indeed, the reliance on international law may reflect that the preservation of international law processes has become a shared, global interest. This imbues international law itself with an unexpected form of power.Global Policy Studie

Introduction

Rationale for creating and using an electronic journal to record, disseminate and archive information associated with the Oregon State Arthropod Collection