Tuesday, November 24, 2009

Extreme risk

Watson Wyatt has just published a short paper on Extreme Risk with an assessment of impact and possibles hedges. Interesting stuff - I particularly liked the reference to Extreme Value Theory and the Association Matrix. The Association Matrix gives hints as to how some reverse engineered risk scenarios might have looked like if the team would have taken some more time to formulate them.

Friday, November 20, 2009

CFA awareness and usage of XBRL up

The results of CFA Institute's 2009 update of its XBRL survey are in! Most importantly, global awareness has inched up from 41% to 45%, and similarly has usage. Here is the summary comparison of the 2009 numbers with the earlier version. On top of the summary, the detailed report allows for a number of interesting observations (margin of error is 2.5% at a 95% confidence interval):

  • Awareness has crossed the 50% threshold (52%) for the first time in the Americas. Interestingly, it is highest among the most experienced Charterholders and lowest among new and non-Charterholders. 
  • Highest impact of the usage of XBRL continues to be expected from uploading company data and from comparing companies.
  • There was a marked shift in the types of assurance expected from an integrated to a separate audit for XBRL instances. Unfortunately, we don't have a regional split of that information. It would be interesting to see whether the shift originated mostly in the US, where sensitivities about XBRL specific audit issues are rising.
  • Against my expectations, direct information extraction from source documents is rising at the expense of third party sources. This is consistent with the increased usage of XBRL documents. Too bad we don't have a more detailed analysis of this item.
Those of you who read German may be interested in an article I've written for nspublish INSIDE.

Sunday, November 08, 2009

Cross-border IORP growth slowing

In its third Report on Market Developments, CEIOPS provides an update of recent developments in cross-border pension funds. Net growth has dwindled to a mere 9% in the reporting period. Notably, there were 4 discontinuations of cross-border activities of IORPs. The report includes little conclusive evidence of the reasons for the slow growth. In particular, the discontinuations were not attributed to the regulatory framework, but anecdotally to reasons specific to the institution in question. Nevertheless, our assumption would be that the uncertainty surrounding the pending revisions of the pensions directive are certainly not encouraging strong growth at this juncture.

Saturday, November 07, 2009

XBRL covers 60% of global market cap

Doing some research in preparation for a draft answer to CESR's Call for Evidence on standard reporting formats, I was curious to find out how much of the world's capitalisation is already covered by an XBRL mandate. I've thrown together a list of jurisdictions provided by Mike Willis that either already have a mandatory scheme of XBRL disclosure for issuers in operation or decided about its introduction. Using country weights of the MSCI World Index for developed countries (i.e. without China or India and others, both of which have or will soon have a scheme in place), this adds up to slightly above 60% of the "developed" world's equity capitalisation that is already covered by a mandatory XBRL disclosure scheme today.

While this is an encouragingly large share, it is still some ways away from the 90+% that I reckon to be necessary to encourage global investors to migrate the information infrastructure of their analytical processes to XBRL. Bringing the EU's market cap on board would bring us substantially closer to that important threshold.