Author: Louise Pryor

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

This paper, by Ray Butler of H.M. Customs and Excise, summarises the audit experience, describes the methodology and outlines the results to date of a campaign of spreadsheet testing started in July of 1999. Of the seven spreadsheets selected for audit, six contained significant errors. It was published in the proceedings of the 33rd Hawaii International Conference on System Sciences in 2000, and is available at http://www.eusprig.org/hicss33-butler-evader.pdf.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

This is the fourth document in the Building the new Regulator series of reports issued by the Financial Services Authority. It describes the FSA’s ARROW framework for risk assessment and is essential reading for anyone in a regulated firm who will be involved in the risk assessment process. It was published in February 2003 and is available at http://www.fsa.gov.uk/pubs/policy/bnr_firm-framework.pdf.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

This policy statement from the FSA was issued after feedback on CP97 and CP115. It was issued in July 2002 and is available at http://www.fsa.gov.uk/pages/Library/Policy/Policy/2002/ps115_97.shtml.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

Consultation paper 143 from the FSA contains feedback on some of CP97. There are two areas on which the FSA is consulting again: credit risk for insurers, and final bonuses on with-profits policies. It is available at http://www.fsa.gov.uk/pages/Library/Policy/CP/2002/143.shtml. It was issued in July 2002 and the consultation period ended on 31st October 2002.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

Consultation paper 142 from the FSA contains feedback on the operational risk and systems and controls sections of CP97, and contains new draft guidance. It is available at http://www.fsa.gov.uk/Pages/Library/Policy/CP/2002/142.shtml. It was issued in July 2002 and the consultation period ended on 31st October 2002.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

This is the precursor to the Building the new Regulator series of reports issued by the Financial Services Authority. It describes the FSA’s statutory objectives and its approach to regulation, including the operating framework and regulatory tools. The report, which was published in January 2000, is available at http://www.fsa.gov.uk/pubs/policy/p29.pdf.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

This is the first report in the series issued by the Financial Services Authority. It was published in December 2000, and describes the risks to the FSA’s statutory objectives and the method of assessing the impact of particular risks. It then goes on to consider how the probability of risks can be assessed. In Appendix 1 it provides five case studies of the impact/probability assessment framework, indicating the regulatory relationships that would be likely for various combinations of impact and probability. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress1.pdf.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

The Financial Services Authority have issued a series of reports outlining their new risk-based regulatory framework. This report, issued in February 2002, describes their risk-based operating framework and what it means for the firms that they regulate. In particular, it includes (as Appendix B) a probability assessment matrix that provides the risk classification system that they use. Note that the FSA is interested only in risks to their statutory objectives, and that these may not be the same as, for example, risks to shareholder value. The report is available at http://www.fsa.gov.uk/pubs/policy/bnr_progress2.pdf.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

The International Actuarial Association produced a report for the International Association of Insurance Supervisors on insurance company
solvency. The approach the working party took was to identify the types of of risks to which insurers are subject, and the approaches used to model those risks. The report contains a classification of
insurance company risks, an overview of the risk assessment process in insurance companies, and more detailed consideration of some individual risk types. It is available at www.actuaries.org/CTTEES_INSREG/Documents/Solvency_Report_EN.pdf.

This entry, which describes an external link, was imported from my old website which is now defunct. I’ve therefore given it an artificial post date of 1 August 2002.

By Cormac Butler. Value at Risk is covered in many of the books on risk management in banking, but for a really comprehensive treatment you should try this book. Unlike some similar books it doesn’t have an associated CD with worked examples, but its explanations are clear. It has a whole chapter on applying VaR principles to credit control. Visit its page at Amazon.