毕博上海银行咨询Risk Mgmt Capabilities n231-01.docVIP

毕博上海银行咨询Risk Mgmt Capabilities n231-01.doc

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毕博上海银行咨询Risk Mgmt Capabilities n231-01.doc

A FRAMEWORK FOR MARKET RISK MEASUREMENT AND MANAGEMENT FOR THE CASA DE BOLSA September 5, 1996 A FRAMEWORK FOR MARKET RISK MEASUREMENT AND MANAGEMENT FOR THE CASA DE BOLSA September 5, 1996 AGENDA I. introduction II. market risk measurement III. general framework for quantifying credit risk IV. implementing var V. beyond var VI. linking var to risk capital vii. Var software demonstration i. introduction why should banorte be concerned with market risk? Many of its assets change in value due to fluctuations in the financial markets Most evidence indicates that financial markets follow “random walks” usd-dem exchange rate random simulation Need to use statistical techniques to asses likely range of future values Accounting based reporting, which assumes a deterministic world, gives a misleading picture of the true economic status the need for risk management lies in the inherent uncertainties of the banking business and growing external pressures . . . Future earnings are uncertain, they are affected by Credit write-offs Trading losses Fluctuations in demand Regulators are beginning to require risk management BIS guidelines Central bank pressures Stakeholders increasingly want to see effective risk management Owners/shareholders Bondholders Employees Clients . . . risk management is becoming a “core competency” of successful financial services firms the foundation for effective risk management lies in the consistent measurement of all sources of risk . . . . . . today’s focus is on market risk ii. market risk measurement market risk is the possibility that banorte will suffer a loss as a result of unfavorable market movements Example 1: FX desk purchases DM150 MM for USD100 MM current position new position Spot Rate $1 = DM1.5 Spot Rate $1=DM1.53 Position Value $100 MM Position Value $98 MM Loss to Bank $2 MM Example 2: Option desk buys 10,000 at-the-money call options on a stock trading at $100 current position new p

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