A summary of the most significant risk management news of early 2009.

The credit crisis has forced the financial services industry to pay closer attention to systemic risk. David C. Shimko summarizes research papers that evaluate the recent impact of systemic risk, and author-supplied abstracts offer more details.

Did investors and funds of hedge funds fail to perform due diligence on Bernard Madoff Investment Securities? And was there anything magical about Madoff’s Ponzi scheme? Professor Marco Avellaneda shares a personal story.

Are risk disclosures buried in the notes of financial statements? Have the value-at-risk (VaR) numbers supplied by the likes of Goldman Sachs, Merrill Lynch, Morgan Stanley, Bank of America, JPMorgan and Citigroup accurately reflected their true risks during the credit crisis? What metrics can we use to form opinions and ... click here for more details.

It is difficult to validate loss-given default (LGD), particularly in the case of low-default portfolios. This is partly because the data required for such validation are relatively scarce. Dr. Marco Folpmers identifies the challenges that LGD estimation and validation present and explains how these obstacles can be overcome with the ... click here for more details.

What are the similarities and differences between the CFA and FRM, and how have these certification programs evolved over the last 10 years? Theodore Kim, a financial research executive who holds both certifications, investigates.

It is far from easy to measure institutional-level risk during times of abnormal volatility and low liquidity. Professor Mark Salmon and Dr. Stephen Weston argue that while traditional metrics such as value-at-risk, expected shortfall and extreme value theory have performed fairly well during stable market conditions, they are largely ineffective ... click here for more details.

Dr. Christopher Donohue critiques Andrew Lo’s Hedge Funds: An Analytic Perspective.

Why didn’t the SEC uncover the wrongdoings of Bernard Madoff Investment Securities?