Value at Risk, 3rd Ed., Part IV - Applications of Risk Management SystemsThis chapter comes from Value at Risk, the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. |
Contents
| 379 | |
16 Using VAR for Active Risk Management | 403 |
17 VAR and Risk Budgeting in Investment Management | 425 |
Common terms and phrases
active managers allocation analysis Assume bank bank’s benchmark benefits bonds business units Buy Side cash flows centralized risk management CFAR correlation cost credit rating custodian defined desk Deutsche Bank disclosure dollar earnings-based economic capital equity capital euros evaluated example exchange rate expected returns financial institutions financial risks firm forward-looking global risk management hedge funds horizon increase instance interest rates interest-rate investment guidelines investment management industry investment process investors J.P. Morgan leverage liabilities loss marginal market risk measure of risk normal distributions notional amount operational risk OTPPB pension fund percent confidence level plan sponsor policy mix portfolio risk position limits profits RAPM RAROC reports revenues risk budget risk capital Risk controls risk management system risk measures risk profile risk-free rate rogue trader shareholders Sharpe ratio sources of risk strategy surplus systematic risk Table total portfolio total risk tracking error trading Treynor ratio volatility