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21 Feb 2016



Important Breakthroughs in the History of Risk Management

      Year      Breakthroughs
 1730 First future contract on rice in Japan
1864 First future contract on agricultural products at the Chicago Board of Trade
1972 Future contract on currencies at the Chicago Mercantile Exchange
1973 1973 Black-Scholes-Merton formula for option valuation
1974 Merton’s default risk model
 1977  Interest rate models by Vasicek and Cox, Ingersoll and Ross (CIG)
 1980-1990  Exotic options, Swaptions and Stock derivatives
 1985  Creation of the Swap Dealers Association (SDA)
 1987  First risk management department in a bank (Merrill Lynch)
 1988  Basel I
 1989  Value at Risk (VaR)
 1992  RiskMetrics
 1997  CreditMetrics
 2002  New governance rules by Sarbanes-Oxley
 2004  Basel II
 2009  Solvency II
 2010  Basel III
2011  Comprehensive Capital Analysis and Review (CCAR)

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