Sunday, January 14, 2007

Risk management at exchanges: thinking beyond VaR

The risk management of the NSCC is greatly respected owing to episodes like May 2004, when volatility skyrocketed but the systems worked fine. Jayanth Varma, who did a lot of the early thinking leading up to this risk management system, did a talk at ICRIER on the 9th, as part of their finance seminar series. He spoke about new ideas in risk management, and their possible application to the task of the derivatives clearing corporation.

1 comment:

1. Ajay,

Any thoughts on NYSE, and others, taking a stake in NSE? Good, bad, or indifferent impact on markets and governance? If RBI and MOF approves it (presumably they have), does it mean Indians can finally invest in overseas markets to create a global portfolio for their pension funds, as you have advocated?

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