Event: International Risk Management Conference - http://therisksociety.com
Lecture title: “Crude Oil Option Implied VaR and CvaR”
Date: June 14, 2016
Location: The Hebrew University of Jerusalem
Combining risk information and criticality data derived from determining the impact enables urgent needs for action to be identified so that risks can be addressed in a proactive manner using appropriate measures, thereby ensuring the success of the company. Read more about the step-by-step approach, and conceptual and organizational implementation of risk assessment!
Monitoring of latent risks and an early warning system for events enable prompt implementation of appropriate preventive measures in a crisis situation. These predefined actions, together with quicker crisis response time and assessment of the criticality can save costs and time. Read more about the step-by-step approach, and conceptual and organizational implementation of risk identification!
Demand forecasting, a crucial concept of Managerial Economics.
How demand is forecasted for various time horizons and various firms.
How is done for existing as well as new companies.
The power point presentation will help you understand Demand Estimation and Forecast in nutshell. It covers:
1) Estimation and its Methods
2) Forecast and its purpose
3) Steps to Forecast
4) Scope of Forecasting
5) Determinants for Demand Forecast
Learn about common model risk program issues, the initial focus for the model risk management team, five early actions, overcoming legacy issues, and the key success factors. Get the steps for an initial development plan and view an example operating plan.
Top 10 Logistics Risks in the Spirit of David LettermanThomas Tanel
The simple fact is that in today’s longer, more global supply chains, product moves over greater distances and across more multinational borders than in the more localized supply chains of the past. The coordination and execution required for international shipments has always been a challenge. But now we find that market conditions, security considerations, transportation versus inventory costs of ownership, increasing regulatory and political pressures, and even natural events (such as storms and earthquakes) with increasing frequency and havoc are converging in such a way that it makes the task even more daunting.
Proactive discovery and visibility of logistics risks is the key to the prevention and management of supply chain disruptions. And a key ingredient in managing supply chain disruptions is risk identification; so attend this valuable presentation to find out what the Top 10 Logistics Risks are (in the spirit of David Letterman) that you will be facing in the coming years. Donald Rumsfeld, former US Secretary of Defense quipped in 2002, “Reports that say that something hasn’t happened are always interesting to me, because, as we know, there are known knowns; there are things we know we know. We also know there are known unknowns; that is to say we know there are some things we do not know. But there are also unknown unknowns-—-the ones we don’t know we don’t know.”
General Gus Pagonis, in charge of logistics during the First Gulf War in 1991 describes it best in his own words, “Logisticians deal with unknowns. They attempt to eliminate unknowns, one by one, until they are confident that they have done away with the possibility of paralyzing surprises.” Are you equipped to succeed in a supply chain world of increasing difficulty and insecurity and multiple interconnected supply chains? Do you have the correct response to a supply disruption in the supply chain and the attendant Top 10 Logistics Risks?
Why is logistics risk management in the supply chain so important now? You’ve spent years streamlining operations, reengineering processes, integrating with partners, implementing purchasing, contract management and supply chain systems, and moving production to low-cost, offshore locations. You’ve done all of this in order to get a global supply chain that really works. Finally, you can take a deserved rest, right? Unfortunately, the answer is no-—-you must learn to continuously adapt to a volatile, uncertain, complex, and ambiguous logistics environment!
As noted by Charles Darwin, “It is not the strongest of the species that survives, or the most intelligent that survives. It is the one that is the most adaptable to change.”
Risk management is about having a systematic way of dealing with thin
Combining risk information and criticality data derived from determining the impact enables urgent needs for action to be identified so that risks can be addressed in a proactive manner using appropriate measures, thereby ensuring the success of the company. Read more about the step-by-step approach, and conceptual and organizational implementation of risk assessment!
Monitoring of latent risks and an early warning system for events enable prompt implementation of appropriate preventive measures in a crisis situation. These predefined actions, together with quicker crisis response time and assessment of the criticality can save costs and time. Read more about the step-by-step approach, and conceptual and organizational implementation of risk identification!
Demand forecasting, a crucial concept of Managerial Economics.
How demand is forecasted for various time horizons and various firms.
How is done for existing as well as new companies.
The power point presentation will help you understand Demand Estimation and Forecast in nutshell. It covers:
1) Estimation and its Methods
2) Forecast and its purpose
3) Steps to Forecast
4) Scope of Forecasting
5) Determinants for Demand Forecast
Learn about common model risk program issues, the initial focus for the model risk management team, five early actions, overcoming legacy issues, and the key success factors. Get the steps for an initial development plan and view an example operating plan.
Top 10 Logistics Risks in the Spirit of David LettermanThomas Tanel
The simple fact is that in today’s longer, more global supply chains, product moves over greater distances and across more multinational borders than in the more localized supply chains of the past. The coordination and execution required for international shipments has always been a challenge. But now we find that market conditions, security considerations, transportation versus inventory costs of ownership, increasing regulatory and political pressures, and even natural events (such as storms and earthquakes) with increasing frequency and havoc are converging in such a way that it makes the task even more daunting.
Proactive discovery and visibility of logistics risks is the key to the prevention and management of supply chain disruptions. And a key ingredient in managing supply chain disruptions is risk identification; so attend this valuable presentation to find out what the Top 10 Logistics Risks are (in the spirit of David Letterman) that you will be facing in the coming years. Donald Rumsfeld, former US Secretary of Defense quipped in 2002, “Reports that say that something hasn’t happened are always interesting to me, because, as we know, there are known knowns; there are things we know we know. We also know there are known unknowns; that is to say we know there are some things we do not know. But there are also unknown unknowns-—-the ones we don’t know we don’t know.”
General Gus Pagonis, in charge of logistics during the First Gulf War in 1991 describes it best in his own words, “Logisticians deal with unknowns. They attempt to eliminate unknowns, one by one, until they are confident that they have done away with the possibility of paralyzing surprises.” Are you equipped to succeed in a supply chain world of increasing difficulty and insecurity and multiple interconnected supply chains? Do you have the correct response to a supply disruption in the supply chain and the attendant Top 10 Logistics Risks?
Why is logistics risk management in the supply chain so important now? You’ve spent years streamlining operations, reengineering processes, integrating with partners, implementing purchasing, contract management and supply chain systems, and moving production to low-cost, offshore locations. You’ve done all of this in order to get a global supply chain that really works. Finally, you can take a deserved rest, right? Unfortunately, the answer is no-—-you must learn to continuously adapt to a volatile, uncertain, complex, and ambiguous logistics environment!
As noted by Charles Darwin, “It is not the strongest of the species that survives, or the most intelligent that survives. It is the one that is the most adaptable to change.”
Risk management is about having a systematic way of dealing with thin
Risk Measurement From Theory to Practice: Is Your Risk Metric Coherent and Em...amadei77
I present desirable features for a risk metric, incorporating the coherent risk framework and empirical features of markets. I argue that a desirable risk metric is one that is coherent and focused on measuring tail losses, which significantly affect investment performance. I evaluate 5 risk metrics: volatility, semi-standard deviation, downside deviation, Value at Risk (VaR) and Conditional Value at Risk (CVaR). I demonstrate that CVaR is the only coherent risk metric explicitly focused on measuring tail losses, which are an important, empirical feature of markets. CVaR is the most practically useful risk metric for an investor interested in minimizing declines in the value of a portfolio at stress points while maximizing returns. Through several examples, I demonstrate that the choice of a risk metric may lead to very different portfolios and investment performance due to differences in investment selection, portfolio construction and risk management. I also demonstrate that the focus on tail losses as opposed to volatility results in superior performance - much smaller declines in value at stress points with improvements in average and cumulative returns; similar results can be achieved with other risk metrics, which are not designed to measure tail losses like CVaR Based on empirical data, practical recommendations for investment analysis, portfolio construction and risk management are included throughout the article.
Value-at-Risk (VaR) has been adopted as the cornerstone and commonlanguage of risk management by virtually all major financial institutions and regulators. However, this risk measure has failed to warn the market participants during the financial crisis. In this paper, we show this failure may come from the methodology that we use to calculate VaR and not necessarily for VaR measure itself. we compare two different methods for VaR calculation, 1)by assuming the normal distribution of portfolio return, 2)
by using a bootstrap method in a nonparametric framework. The Empirical exercise is implemented on CAC 40 index, and the results show us that the first method will underestimate the market risk - the failure of VaR measure occurs. Yet, the second method overcomes the shortcomings of the first method and provides results that pass the tests of VaR evaluation.
Exchanges are centralized places where certain securities, commodities, derivatives, and other financial instruments are traded. In order to facilitate trading among buyers and sellers of these products, exchanges take the central position of being the counterparty to both buyers and the sellers of the product. This is done to remove the possibility of disputes that may arise from the non-performance of the counterparty. The exchange guarantees trades will be honored. This creates credit risk for the exchange attributable to the buyers and the sellers of its products. To address the potential loss due to the credit risk undertaken by exchanges from these buyers and sellers of the exchange traded products, exchanges demand certain margin requirements from their counterparties.
This presentation addresses in detail the issues that are considered for calculation of margin requirements and maintenance.
CH&Cie - Fundamental Review of the Trading BookC Louiza
Arbitrage opportunity Banking book vs Trading book • The classification of assets between the banking book and trading book was unclear allowing arbitrage opportunity for RWA
Long horizon simulations for counterparty risk Alexandre Bon
The Challenges of Long Horizon Simulations in the context of Counterparty Risk modeling : CVA, PFE and Regulatory reporting.
This joint presentation reviews the key decisions that need making regarding the choice of risk factor evolution models and calibration methods. In particular, we will analyse the performance of classical historical calibration methods (such as Maximum Likelihood and the Efficient Method of Moments) in estimating the volatility and drift terms of the Hull & White class of Interest Rate models ; both in terms of convergence and stability.
As most methods perform satisfactorily for volatility but disappoint on the mean reversion estimation, we propose a new modified Variance Estimation method that significantly outperform the classical approaches.
Lastly, after reviewing historical economic evidence of mean-reversion dynmics in high interest rate regime, we propose modifying classical models by making mean reversion non-linear and accelerating for high rates - that can be referred as "+R" models.
This model address unrealistically large and persistent interest rates values often observed at high quantile in PFE and CVA simulations.
how to sell pi coins in South Korea profitably.DOT TECH
Yes. You can sell your pi network coins in South Korea or any other country, by finding a verified pi merchant
What is a verified pi merchant?
Since pi network is not launched yet on any exchange, the only way you can sell pi coins is by selling to a verified pi merchant, and this is because pi network is not launched yet on any exchange and no pre-sale or ico offerings Is done on pi.
Since there is no pre-sale, the only way exchanges can get pi is by buying from miners. So a pi merchant facilitates these transactions by acting as a bridge for both transactions.
How can i find a pi vendor/merchant?
Well for those who haven't traded with a pi merchant or who don't already have one. I will leave the telegram id of my personal pi merchant who i trade pi with.
Tele gram: @Pi_vendor_247
#pi #sell #nigeria #pinetwork #picoins #sellpi #Nigerian #tradepi #pinetworkcoins #sellmypi
The secret way to sell pi coins effortlessly.DOT TECH
Well as we all know pi isn't launched yet. But you can still sell your pi coins effortlessly because some whales in China are interested in holding massive pi coins. And they are willing to pay good money for it. If you are interested in selling I will leave a contact for you. Just telegram this number below. I sold about 3000 pi coins to him and he paid me immediately.
Telegram: @Pi_vendor_247
How Does CRISIL Evaluate Lenders in India for Credit RatingsShaheen Kumar
CRISIL evaluates lenders in India by analyzing financial performance, loan portfolio quality, risk management practices, capital adequacy, market position, and adherence to regulatory requirements. This comprehensive assessment ensures a thorough evaluation of creditworthiness and financial strength. Each criterion is meticulously examined to provide credible and reliable ratings.
Abhay Bhutada Leads Poonawalla Fincorp To Record Low NPA And Unprecedented Gr...Vighnesh Shashtri
Under the leadership of Abhay Bhutada, Poonawalla Fincorp has achieved record-low Non-Performing Assets (NPA) and witnessed unprecedented growth. Bhutada's strategic vision and effective management have significantly enhanced the company's financial health, showcasing a robust performance in the financial sector. This achievement underscores the company's resilience and ability to thrive in a competitive market, setting a new benchmark for operational excellence in the industry.
The European Unemployment Puzzle: implications from population agingGRAPE
We study the link between the evolving age structure of the working population and unemployment. We build a large new Keynesian OLG model with a realistic age structure, labor market frictions, sticky prices, and aggregate shocks. Once calibrated to the European economy, we quantify the extent to which demographic changes over the last three decades have contributed to the decline of the unemployment rate. Our findings yield important implications for the future evolution of unemployment given the anticipated further aging of the working population in Europe. We also quantify the implications for optimal monetary policy: lowering inflation volatility becomes less costly in terms of GDP and unemployment volatility, which hints that optimal monetary policy may be more hawkish in an aging society. Finally, our results also propose a partial reversal of the European-US unemployment puzzle due to the fact that the share of young workers is expected to remain robust in the US.
US Economic Outlook - Being Decided - M Capital Group August 2021.pdfpchutichetpong
The U.S. economy is continuing its impressive recovery from the COVID-19 pandemic and not slowing down despite re-occurring bumps. The U.S. savings rate reached its highest ever recorded level at 34% in April 2020 and Americans seem ready to spend. The sectors that had been hurt the most by the pandemic specifically reduced consumer spending, like retail, leisure, hospitality, and travel, are now experiencing massive growth in revenue and job openings.
Could this growth lead to a “Roaring Twenties”? As quickly as the U.S. economy contracted, experiencing a 9.1% drop in economic output relative to the business cycle in Q2 2020, the largest in recorded history, it has rebounded beyond expectations. This surprising growth seems to be fueled by the U.S. government’s aggressive fiscal and monetary policies, and an increase in consumer spending as mobility restrictions are lifted. Unemployment rates between June 2020 and June 2021 decreased by 5.2%, while the demand for labor is increasing, coupled with increasing wages to incentivize Americans to rejoin the labor force. Schools and businesses are expected to fully reopen soon. In parallel, vaccination rates across the country and the world continue to rise, with full vaccination rates of 50% and 14.8% respectively.
However, it is not completely smooth sailing from here. According to M Capital Group, the main risks that threaten the continued growth of the U.S. economy are inflation, unsettled trade relations, and another wave of Covid-19 mutations that could shut down the world again. Have we learned from the past year of COVID-19 and adapted our economy accordingly?
“In order for the U.S. economy to continue growing, whether there is another wave or not, the U.S. needs to focus on diversifying supply chains, supporting business investment, and maintaining consumer spending,” says Grace Feeley, a research analyst at M Capital Group.
While the economic indicators are positive, the risks are coming closer to manifesting and threatening such growth. The new variants spreading throughout the world, Delta, Lambda, and Gamma, are vaccine-resistant and muddy the predictions made about the economy and health of the country. These variants bring back the feeling of uncertainty that has wreaked havoc not only on the stock market but the mindset of people around the world. MCG provides unique insight on how to mitigate these risks to possibly ensure a bright economic future.
1. Elemental Economics - Introduction to mining.pdfNeal Brewster
After this first you should: Understand the nature of mining; have an awareness of the industry’s boundaries, corporate structure and size; appreciation the complex motivations and objectives of the industries’ various participants; know how mineral reserves are defined and estimated, and how they evolve over time.
USDA Loans in California: A Comprehensive Overview.pptxmarketing367770
USDA Loans in California: A Comprehensive Overview
If you're dreaming of owning a home in California's rural or suburban areas, a USDA loan might be the perfect solution. The U.S. Department of Agriculture (USDA) offers these loans to help low-to-moderate-income individuals and families achieve homeownership.
Key Features of USDA Loans:
Zero Down Payment: USDA loans require no down payment, making homeownership more accessible.
Competitive Interest Rates: These loans often come with lower interest rates compared to conventional loans.
Flexible Credit Requirements: USDA loans have more lenient credit score requirements, helping those with less-than-perfect credit.
Guaranteed Loan Program: The USDA guarantees a portion of the loan, reducing risk for lenders and expanding borrowing options.
Eligibility Criteria:
Location: The property must be located in a USDA-designated rural or suburban area. Many areas in California qualify.
Income Limits: Applicants must meet income guidelines, which vary by region and household size.
Primary Residence: The home must be used as the borrower's primary residence.
Application Process:
Find a USDA-Approved Lender: Not all lenders offer USDA loans, so it's essential to choose one approved by the USDA.
Pre-Qualification: Determine your eligibility and the amount you can borrow.
Property Search: Look for properties in eligible rural or suburban areas.
Loan Application: Submit your application, including financial and personal information.
Processing and Approval: The lender and USDA will review your application. If approved, you can proceed to closing.
USDA loans are an excellent option for those looking to buy a home in California's rural and suburban areas. With no down payment and flexible requirements, these loans make homeownership more attainable for many families. Explore your eligibility today and take the first step toward owning your dream home.
What website can I sell pi coins securely.DOT TECH
Currently there are no website or exchange that allow buying or selling of pi coins..
But you can still easily sell pi coins, by reselling it to exchanges/crypto whales interested in holding thousands of pi coins before the mainnet launch.
Who is a pi merchant?
A pi merchant is someone who buys pi coins from miners and resell to these crypto whales and holders of pi..
This is because pi network is not doing any pre-sale. The only way exchanges can get pi is by buying from miners and pi merchants stands in between the miners and the exchanges.
How can I sell my pi coins?
Selling pi coins is really easy, but first you need to migrate to mainnet wallet before you can do that. I will leave the telegram contact of my personal pi merchant to trade with.
Tele-gram.
@Pi_vendor_247
where can I find a legit pi merchant onlineDOT TECH
Yes. This is very easy what you need is a recommendation from someone who has successfully traded pi coins before with a merchant.
Who is a pi merchant?
A pi merchant is someone who buys pi network coins and resell them to Investors looking forward to hold thousands of pi coins before the open mainnet.
I will leave the telegram contact of my personal pi merchant to trade with
@Pi_vendor_247
How to get verified on Coinbase Account?_.docxBuy bitget
t's important to note that buying verified Coinbase accounts is not recommended and may violate Coinbase's terms of service. Instead of searching to "buy verified Coinbase accounts," follow the proper steps to verify your own account to ensure compliance and security.
how to swap pi coins to foreign currency withdrawable.DOT TECH
As of my last update, Pi is still in the testing phase and is not tradable on any exchanges.
However, Pi Network has announced plans to launch its Testnet and Mainnet in the future, which may include listing Pi on exchanges.
The current method for selling pi coins involves exchanging them with a pi vendor who purchases pi coins for investment reasons.
If you want to sell your pi coins, reach out to a pi vendor and sell them to anyone looking to sell pi coins from any country around the globe.
Below is the contact information for my personal pi vendor.
Telegram: @Pi_vendor_247
when will pi network coin be available on crypto exchange.DOT TECH
There is no set date for when Pi coins will enter the market.
However, the developers are working hard to get them released as soon as possible.
Once they are available, users will be able to exchange other cryptocurrencies for Pi coins on designated exchanges.
But for now the only way to sell your pi coins is through verified pi vendor.
Here is the telegram contact of my personal pi vendor
@Pi_vendor_247
What price will pi network be listed on exchangesDOT TECH
The rate at which pi will be listed is practically unknown. But due to speculations surrounding it the predicted rate is tends to be from 30$ — 50$.
So if you are interested in selling your pi network coins at a high rate tho. Or you can't wait till the mainnet launch in 2026. You can easily trade your pi coins with a merchant.
A merchant is someone who buys pi coins from miners and resell them to Investors looking forward to hold massive quantities till mainnet launch.
I will leave the telegram contact of my personal pi vendor to trade with.
@Pi_vendor_247
IRMC2016- Keynote Speech - Giovanni Barone Adesi - Lecture title: “Crude Oil Option Implied VaR and CvaR”
1. VaR and CVaR implied in
option prices: the oil
market
Giovanni Barone-Adesi
The Swiss Finance Institute
Università della Svizzera italiana
IRMC, Hebrew University, Jerusalem, June 14 2016
baroneg@usi.ch
2. The limits of statistical risk
measures
• Risk measures are traditionally based on the application of economic
and statistical theory to a sample of observations.
• Therefore, they are based on past observations. They do not
necessarily reflect current risk. To remedy that, they can be extrapo-
lated into the future through a time-series model, such as a GARCH.
• Most of the time this procedure leads to risk estimates supported by
new data. However breaking points in the time series, likely to occur
in market crashes, can be identified only ex-post.
• Risk managers may be left without a working model when they need
it most.
3. Advantages and problems of market-based risk
measures
• Market-based risk measures are based on current derivative prices.
• Measures as VIX and SKEW are increasingly popular.
• The fact that VaR and CVaR, the most common measures in risk
management, look at the left tail of possible return outcomes allows
them to be related to out-of-the money options.
• By doing so, investors’beliefs on future risk are directly elicited,
without statistical estimations.
• These relationships are not used much currently because they seem
to require a change in probability measure and the specification of an
option pricing model. In practice, that is often unnecessary.
4. Problems with VaR and CVaR
• VaR is defined as a quantile of the distribution of possible returns.
• CVaR as the conditional expectation computed on the left of VaR.
• VaR is relatively easy to estimate, but it provides no information on
the distribution of largest losses. It is not subadditive, creating some
problems in portfolios.
• CVaR is a coherent risk measure, but it is hard to make good
inferences about it. The inference problem is complicated by the
scarcity of observations on the tail of the distribution.
• Option-based measures bypass inferencing. To illustrate how, start by
defining VaR and CVaR under the pricing measure.
7. Pricing and objective probability measures
• Risk managers are concerned with future losses, not with market
prices associated with them. The objective, or historical measure, is
appropriate to study their distribution.
• Option prices are current values of future outcomes. They are often
computed under a different measure, consistent with risk neutrality
(pricing measure). That is convenient and it does not affect the option
price.
• Option-based risk measures should be adapted to the objective
measure for consistency. The adaptation is mechanical if both
measures are known. That is often not the case, but luckily it does not
matter much in many applications of interest.
8. Changes of distribution under continuous
or discrete probability measures
• If both distributions are known and absolutely continous the Radon-
Nikodym theorem (or Girsanov’s theorem in case of diffusion
processes) allows to move from one to the other.
• If both distributions are discrete, the change of distribution is given
for each outcome by the state price compounded at the risk-free rate
divided by the objective probability.
• The above results are well-known. Unfortunately, in practice we see
only option prices in the market. We do not know objective
probabilities or Radon Nikodym derivatives, unless we choose a
model. Our model choice undermines the robustness of our results.
10. Numerical examples
• The example in the paper shows the computation of VaR and CVaR
under both measures in detail.
• The results for the oil market, which crashed over the last two years,
our second example, evidence also the changing skewness and
kurtosis of the return distribution under the pricing measure.
• Our results suggest that the hypothesis of a return distribution of
constant form under the physical measure and constant risk aversion
is untenable.
11. VaR/CVaR in the oil futures market, 2014-
2015
(3-month horizon)
13. Conclusions
• Option prices have been shown to convey substantial information about VaR and
expected shortfall.
• They do not rely on past observations, which in any case do not lead to good
inferences about expected shortfall.
• The pricing measure differs from the objective measure because of risk
premiums. The difference vanishes at shorter horizons, commonly used in the
management of market risk.
• Inferences from options allow for the study of the changing shape of the
distribution of security returns. Investors appear to move the probability mass
toward the extremes only at a few dates, characterized by great uncertainty.
Otherwise, the ratio CVaR/VaR moves slowly through time. That is consistent
with a GARCH,to which a jump process is added only occasionally. Contrary to
current models, it appears to rule out the possibility of large jumps most of the
time.