NK: “To describe fully the risk of the portfolio we need this whole distribution. However, to put a monetary value on this, we choose some probability, e.g. 5%, and compute what is the net loss that could exceed this probability. On this example there is a 5% chance of losing more than £15m.”
Transcript
1.
Views from the Dark Side Bill Martin - Global Head of Investment Risk GARP/ISDA Risk Forum 19 December 2001
Investment Risk : the measurement and assessment of exposure held by Invesco Global and its clients’ portfolios to expected and unexpected volatility in financial performance and the requirement to ensure that exposure to unexpected volatility is managed effectively and comprehensively at product level .
Portfolio Construction Investment Risk Policy (Minimum Standards) Contribution Attribution and Performance Assessment Product & Style Integrity Assessment Risk-adjusted Portfolio Analysis (Volatility Analysis; “ What if” a nalysis) Core Competencies Drive the Investment Risk Management process to the performance generating level of the organization across all products, including funds managed directly as well as those managed on an advisory basis. Exception Reporting Local RMC GRMC Global Risk-Adjusted Performance Analysis (GRaPA) Investment Risk Managers GMAC
28.
Probability distribution of P&L's Probability Monthly Performance (%) + - 0 5% chance of unexpected loss 5% chance of unexpected gain +3.0% -1 . 5 %
Be the first to comment