Leading academics and practitioners were recently invited by the publishers of the Journal of Risk Management in Financial Institutions (JRMFI) to independently review Risk Accounting. Their comments were reported by the JRMFI in a paper ‘Comments on Risk Accounting’. The reviewers were:
- Professor Julian Williams, Chair in Accounting and Finance, Durham University Business School
- Roger Chen, Vice President and Chief Risk Officer of Annuities, New York Life Insurance
- Madelyn Antoncic, Executive Director and Global Head of Official Sector Partnerships, Principal Global Investors
- Adam Litke, Chief Risk Strategist and Head of Enterprise Risk Services, Bloomberg
- Mark Abbott, Managing Director and Head of Quantitative Risk Management, Guardian Life Insurance Company of America
- Robert Mark, Founding Partner of Black Diamond Risk Enterprises and Founding Executive Director of the MFE Program at UCLA Anderson School of Management
Below are selected extracts from the reviewers’ comments:
- “The framework… harmonizes all quantifiable risks and valuation uncertainties into one consistent framework without getting bogged down with specific risk models, methodologies and calibrations”
- “…represents a sizeable step forward in the search for a practical global solution to enterprise risk management (ERM)”
- “…the London Whale trading loss… Here, the (method) would bloom”
- “…a very useful conceptual framework that could serve as a baseline for fulfilling the needs of BCBS 239, with a relatively simple to implement approach”
- “…the first mechanism proposed to integrate the major components of risk in a large institution”
- “…(the) proposed framework is both novel in addressing the limitations of existing ERM risk measurement frameworks and practical in adapting the control and reporting frameworks that already exist in accounting and general ledger systems”
- “The integration of accounting and risk measures (both economic and regulatory) makes an important contribution to making risk-adjusted returns transparent”
- “…(the) approach could be a meaningful way of establishing a common metric for operational risk, an area in risk management which, after many years, is still lacking analytical rigour”