Measuring and managing market, credit and Op risk [82]

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Bullet points include: If there is perceived to be reward for carrying a particular risk then: Does firm have the skill (or access to it) needed to capture the reward? Assuming it does then problem mathematically becomes akin to portfolio optimisation, leading to e.g. Utility maximisation, e.g. constrained quadratic optimisation Efficient frontiers, asset-liability overlays Parameter estimation challenges (risks, rewards and correlations) Possibility for error maximisation rather than risk-reward maximisation Focus on robust optimisation approaches Sensitivity to extreme events and tail risks, etc.

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