MODULE 4:
Market Risk (includes asset liability management)
Yield Curve Risk Factor-Domestic and global contexts-handling multiple risk factor-principal component analysis- value at Risk (VAR) – implementation of a VAR system- Additional Risk in fixed income markets-Stress testing- Bank testing.
I have given this presentation at the Amsterdam Business School, University of Amsterdam. It is a practical introduction for Master students in Financial Markets about the importance of Risk Management and the tools thereof.
Counterparty Credit Risk and CVA under Basel IIIHäner Consulting
Financial institutions which apply for an IMM waiver under Basel III need to fullfill a broad set of requirements. We present the quantitative, organizational and operational implications and provide some hand-on guidance how to fulfill the regulatory requirements.
The concept of the Security Market Line is very popular for portfolio management. It helps to derive the pricing of risky securities by plotting their expected returns.
To know more about it, click on the link given below:
https://efinancemanagement.com/investment-decisions/security-market-line
MODULE 4:
Market Risk (includes asset liability management)
Yield Curve Risk Factor-Domestic and global contexts-handling multiple risk factor-principal component analysis- value at Risk (VAR) – implementation of a VAR system- Additional Risk in fixed income markets-Stress testing- Bank testing.
I have given this presentation at the Amsterdam Business School, University of Amsterdam. It is a practical introduction for Master students in Financial Markets about the importance of Risk Management and the tools thereof.
Counterparty Credit Risk and CVA under Basel IIIHäner Consulting
Financial institutions which apply for an IMM waiver under Basel III need to fullfill a broad set of requirements. We present the quantitative, organizational and operational implications and provide some hand-on guidance how to fulfill the regulatory requirements.
The concept of the Security Market Line is very popular for portfolio management. It helps to derive the pricing of risky securities by plotting their expected returns.
To know more about it, click on the link given below:
https://efinancemanagement.com/investment-decisions/security-market-line
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
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.
For full text article go to : http://www.educorporatebridge.com/risk-management/risk-management-process/ This article on Risk Management Process outlines the important steps involved in this process and explains them in detail.
This weeks paper addresses steps to overcome the retirement income challenge.
For retirees, investing in fixed income simply may not fulfill income or risk management needs, while investing heavily in equities may expose these investors to untimely amounts of risk. As Americans face this retirement income challenge, it is no wonder that portfolio longevity is now of greater concern than public speaking.
Page 1 of 9 This material is only for the use of stud.docxkarlhennesey
Page 1 of 9
This material is only for the use of students enrolled in FIN 740 for purposes associated with the course and may not be
retained or further disseminated. All information in this material is proprietary to Dr. Sung Ik Kim. Scanning, copying,
posting to a website or reproducing and sharing in any form is strictly prohibited.
Chapter 10. Quantitative Risk Management in R
In this chapter, I explore how we can describe the risk of a single security or a portfolio (a set of assets).
Especially, I introduce the concept of value at risk (VaR) and expected shortfall (ES) here.
1. What is value at risk (VaR)?
Value at risk is one of the most widely used risk measure in finance. VaR was popularized by J.P. Morgan
in the 1990s. The executive at J.P. Morgan wanted their risk managers to generate one statistic that
summarized the risk of the firm’s entire portfolio at the end of each day. What they came up with was VaR,
which is now widely used by corporate treasurers and fund managers as well as by financial institutions.
VaR is a one-tailed confidence interval. If the 5-day 95% VaR of a portfolio is $1,000, then we expect the
portfolio will lose $1,000 or less in 95% of the scenarios and lose more than $1,000 in 5% of the scenarios
in 5 days. For example, we are interested in making a statement of the following form when using the VaR:
“We are 95 percent certain that we will not lose more than $1,000 in 5 days.”
It is a function of two parameters: the time horizon (e.g. 5-day in the example above) and the confidence
level (e.g. 95% in the example above). We can define VaR for any confidence level, but 95% has become an
extremely popular choice at many financial firms. The time horizon also needs to be specified for VaR. On
trading desks with liquid portfolios, it is common to measure the one-day 95% VaR.
The following figure provides a graphical representation of VaR at the 95% confidence level. The figure
shows the probability density function for the returns of a portfolio. Because VaR is measured at the 95%
confidence level, 5% of the distribution is to the left of the VaR level, and 95% is to the right.
Page 2 of 9
This material is only for the use of students enrolled in FIN 740 for purposes associated with the course and may not be
retained or further disseminated. All information in this material is proprietary to Dr. Sung Ik Kim. Scanning, copying,
posting to a website or reproducing and sharing in any form is strictly prohibited.
We now formally define VaR. Let L be a random variable, which represents the loss to our portfolio. L is
simply the opposite of the return to our portfolio. For example, if the return of our portfolio is -$1,000, the
loss, L, is +$1,000. For given confidence level α, VaR is defined as
P(L ≥ VaR𝛼) = 1 − 𝛼
We can also define VaR directly in terms of returns. If we multiply both sides of the inequality above by -1,
and replace .
Risk Parity, a relatively new portfolio construction method, took Wall Street by storm overcoming the traditional mean-variance and 60/40 methods. Why this method is better and when?
Role of Enterprise Risk Management in Risk Based CapitalSonjai Kumar, SIRM
This presentation is given in the First South Asian Actuarial Conference held in Colombo on 12th and 13th July 2017.
The presentation is on how does risk management can help in optimizing the capital requirement in the life insurance industry
Discuss the concept of risk in investment decisions.
Understand some commonly used techniques, i.e., payback, certainty equivalent and risk-adjusted discount rate, of risk analysis in capital budgeting.
Focus on the need and mechanics of sensitivity analysis and scenario analysis.
Highlight the utility and methodology simulation analysis.
Explain the decision tree approach in sequential investment decisions.
Focus on the relationship between utility theory and capital budgeting decisions.
how to sell pi coins effectively (from 50 - 100k pi)DOT TECH
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debuts.
I'll provide you the what'sapp number.
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5 Tips for Creating Standard Financial ReportsEasyReports
Well-crafted financial reports serve as vital tools for decision-making and transparency within an organization. By following the undermentioned tips, you can create standardized financial reports that effectively communicate your company's financial health and performance to stakeholders.
Seminar: Gender Board Diversity through Ownership NetworksGRAPE
Seminar on gender diversity spillovers through ownership networks at FAME|GRAPE. Presenting novel research. Studies in economics and management using econometrics methods.
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 what'sapp this number below. I sold about 3000 pi coins to him and he paid me immediately.
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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.
Tax System, Behaviour, Justice, and Voluntary Compliance Culture in Nigeria -...
Value at risk
1.
2. I am “X” percent certain there will not be a loss of more than “V “in the next “N” days
X is the confidence level
V is the VAR of the portfolio
N is the time horizon
3. A statistical technique used to measure and quantify the level of financial risk
within a firm or investment portfolio over a specific time frame. Value at risk is
used by risk managers in order to measure and control the level of risk which the
firm undertakes.
Value at Risk is measured in three variables: the amount of potential loss, the
probability of that amount of loss, and the time frame. For example, a financial
firm may determine that it has a 5% one month value at risk of $100 million. This
means that there is a 5% chance that the firm could lose more than $100 million
in any given month. Therefore, a $100 million loss should be expected to occur
once every 20 months.
6. ANALYTICAL METHOD
Variance- covariance method
Knowledge of input values
Under the assumptions of normal distribution
7. HISTORICAL METHOD
Estimates the distribution of the portfolio
performance by collecting data on the past
performance of the portfolio and using it to
estimate the future probability distribution
Produces a VAR that is consistent with the
VAR of the chosen historical period
8. MONTE CARLO SIMULATION METHOD
Named for the city of “MONTE CARLO” which is
known for casino’s.
Simulation is a procedure in which random numbers
are generated and the outcomes associated with
these random drawings are then analyzed to
determine the likely results and the associated risk.
