Hooking Up VaR & PaR

Topics:
Risk Analysis and Management
Tags:
Finance,
Financial Planning,
Financial Services,
Management,
Operation,
Risk Management,
Security,
Strategy
Source:
The Risk Desk

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Overview: Asset-Centric Business Strategies and Their Link to Risk Methodologies Making best use of two risk methodologies: value-at-riskand profit-at-risk, can help a company manage its bank-like trading operations while providing forward visibility of corporate earnings to support enterprise-wide risk management. The risk management approach best suited to trading centric business units is largely the same as that of a capital markets trading operation. The basic concept is to allocate a certain amount of risk capital to underwrite the trading operation and then to set and track a set of risk limits to ensure the risk capital constraint is not exceeded. The traders are highly motivated to maximize their trading profits and set about trading unconstrained until such time as a risk limit is approached or breeched.

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Format: PDF | Size: 240KB | Date: Jan 2003 | Pages: 5

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