Extreme Risks: The 2011 Update

Extreme risks are potential events that are very unlikely to occur but would have a significant impact on economic growth and asset returns should they happen. The global financial crisis and its aftermath have demonstrated that risk management efforts cannot afford to stop at the 95th percentile (VaR ⁹⁵), and a holistic risk management framework should include very unlikely, but potentially high-impact, events. This is an update of the extreme risks paper we wrote in 2009.

Authors

Tim Hodgson
Specializes in investment thought leadership.
Towers Watson, Reigate

Carole Judd
Specializes in investment thought leadership. Towers Watson, Reigate

Liang Yin
Specializes in investment thought leadership. Towers Watson, Reigate