Attilio Meucci. Fully Integrated Liquidity- and Market-Risk Model. PUBLISHED: Financial Analyst Journal, November 2012
|
|
|
- Rosanna Flynn
- 6 years ago
- Views:
Transcription
1 Liquidity-, The Funding- 19th Annual and Market-Risk Workshop on Financial Engineering: Quantitative Asset Management Columbia Engineering, November Attilio Meucci Fully Integrated Liquidity- and Market-Risk Model PUBLISHED: Financial Analyst Journal, November 2012 STUDY IT: (white paper and code) DO IT: Advanced Risk and Portfolio Management Bootcamp
2 Conceptual issues in liquidity modeling today time investment horizon
3 Conceptual issues in liquidity modeling profit portfolio value in scenario 1 time paths of market risk drivers portfolio value in scenario 2 portfolio value in scenario 3 loss investment horizon
4 Conceptual issues in liquidity modeling profit P&L distribution loss Tail risk
5 profit Conceptual issues in liquidity modeling value in scenario 1 unknown due to liquidity value in scenario 2 unknown due to liquidity value in scenario 3 unknown due to liquidity loss
6 Conceptual issues in liquidity modeling profit liquid securities display small price uncertainty loss
7 Conceptual issues in liquidity modeling profit illiquid securities display large price uncertainty loss
8 Conceptual issues in liquidity modeling profit liquidity hits only in undesirable direction loss
9 Conceptual issues in liquidity modeling profit liquidity hits harder when we are in trouble loss
10 Conceptual issues in liquidity modeling profit liquidity risk + market risk? loss
11 Market risk as Fully Flexible Probabilities (FFP) Paths of market risk drivers (interest rates, stock returns, implied volatility surfaces, ) probability of paths joint scenario of N risk drivers probability of joint scenario
12 Market risk as Fully Flexible Probabilities (FFP) Paths of market risk drivers (interest rates, stock returns, implied volatility surfaces, ) probability of paths Market P&L of each security
13 Market risk as Fully Flexible Probabilities (FFP) profit Paths of market risk drivers (interest rates, stock returns, implied volatility surfaces, ) probability of paths market risk Market P&L of each security Market P&L of portfolio loss
14 Liquidity as market impact Liquidity adjustment depends on - market conditions - liquidation policy Literature on market impact Market-dependent corrections (VIX, liquidity indices, ) Liquidity adjustment of portfolio
15 Total risk = market + liquidity portfolio total P&L market risk P&L liquidity risk adjustment market risk liquidity risk + =
16 Total risk = market + liquidity portfolio total P&L market risk P&L liquidity risk adjustment Total P&L distribution = mixture of bells with different centers and widths market risk liquidity risk + =
17 Illiquidity score portfolio total P&L market risk P&L liquidity risk adjustment Total P&L distribution = mixture of bells with different centers and widths market risk liquidity risk + = Illiquidity score Tail risk
18 Market-Liquidity risk decomposition portfolio total P&L market risk P&L liquidity risk adjustment Marginal contributions market risk liquidity risk + =
19 Market-Liquidity risk decomposition portfolio total P&L market risk P&L liquidity risk adjustment Marginal contributions market risk liquidity risk + =
20 Case studies
21 Case studies
22 Case studies
23 Case studies
24 References PUBLISHED: Financial Analyst Journal, November 2012 STUDY IT: (white papers and code) DO IT: Advanced Risk and Portfolio Management Bootcamp
Session 15, Flexible Probability Stress Testing. Moderator: Dan dibartolomeo. Presenter: Attilio Meucci, CFA, Ph.D.
Session 15, Flexible Probability Stress Testing Moderator: Dan dibartolomeo Presenter: Attilio Meucci, CFA, Ph.D. Attilio Meucci Entropy Pooling STUDY IT: www.symmys.com (white papers and code) DO IT:
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES. For the quarter ended March 31, 2014
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES For the quarter ended March 31, 2014 The Market Risk Rule The Office of the Comptroller of the Currency (OCC), jointly with the Board of Governors of the Federal
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES. For the quarter ended September 30, 2015
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES For the quarter ended September 30, 2015 The Market Risk Rule In order to better capture the risks inherent in trading positions the Office of the Comptroller
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES For the year ended December 31st, 2018 PLEASE NOTE: For purposes of consistency and clarity, Table 1, Chart 1, and Table 3 have been updated to reflect that
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES. For the quarter ended March 31, 2016
FIFTH THIRD BANCORP MARKET RISK DISCLOSURES For the quarter ended March 31, 2016 The Market Risk Rule In order to better capture the risks inherent in trading positions the Office of the Comptroller of
Probability Distribution Unit Review
Probability Distribution Unit Review Topics: Pascal's Triangle and Binomial Theorem Probability Distributions and Histograms Expected Values, Fair Games of chance Binomial Distributions Hypergeometric
Confidence Intervals and Sample Size
Confidence Intervals and Sample Size Chapter 6 shows us how we can use the Central Limit Theorem (CLT) to 1. estimate a population parameter (such as the mean or proportion) using a sample, and. determine
Growth Strategy: Example Deliverable. Maximizing Growth. Transforming Organizations. Unlocking Digital.
Growth Strategy: Example Deliverable Maximizing Growth. Transforming Organizations. Unlocking Digital. Goals of project Model Methodology 1 Lay-out a concrete path forward to building a profitable, $XM
Discussion of "Did Quantitative Easing Increase Income Inequality?"
Discussion of "Did Quantitative Easing Increase Income Inequality?" by J.A. Montecino and G. Epstein (UMass Amherst) M. Dossche (ECB) 1 CEP-Gerzensee-SNB Workshop, 9-10 November 2017 1 The views expressed
Lecture 35 Section Wed, Mar 26, 2008
on Lecture 35 Section 10.2 Hampden-Sydney College Wed, Mar 26, 2008 Outline on 1 2 3 4 5 on 6 7 on We will familiarize ourselves with the t distribution. Then we will see how to use it to test a hypothesis
ILA LRM Model Solutions Fall Learning Objectives: 1. The candidate will demonstrate an understanding of the principles of Risk Management.
ILA LRM Model Solutions Fall 2015 1. Learning Objectives: 1. The candidate will demonstrate an understanding of the principles of Risk Management. 2. The candidate will demonstrate an understanding of
Market Risk Analysis Volume IV. Value-at-Risk Models
Market Risk Analysis Volume IV Value-at-Risk Models Carol Alexander John Wiley & Sons, Ltd List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.l Value
The Risk of Model Misspecification and its Impact on Solvency Measurement in the Insurance Sector
The Risk of Model Misspecification and its Impact on Solvency Measurement in the Insurance Sector joint paper with Caroline Siegel and Joël Wagner 1 Agenda 1. Overview 2. Model Framework and Methodology
Uncertainty, Risk and Electricity Sector Planning
Uncertainty, Risk and Electricity Sector Planning NATIONAL CONFERENCE OF STATE LEGISLATURES NATIONAL ASSOCIATION REGULATORY UTILITY COMMISSIONERS Transmission and Energy Portfolio Planning Workshop May
A Robust Quantitative Framework Can Help Plan Sponsors Manage Pension Risk Through Glide Path Design.
A Robust Quantitative Framework Can Help Plan Sponsors Manage Pension Risk Through Glide Path Design. Wesley Phoa is a portfolio manager with responsibilities for investing in LDI and other fixed income
Solvency Projections: What s the point unless you get some value from the results?
Solvency Projections: What s the point unless you get some value from the results? Raymond Bennett and Stefan Strydom Agenda 1. Why solvency projections? 2. A model office approach and case study 3. Applying
Understanding the Results of an Integrated Cost/Schedule Risk Analysis James Johnson, NASA HQ Darren Elliott, Tecolote Research Inc.
Understanding the Results of an Integrated Cost/Schedule Risk Analysis James Johnson, NASA HQ Darren Elliott, Tecolote Research Inc. 1 Abstract The recent rise of integrated risk analyses methods has created
Specifying and Managing Tail Risk in Multi-Asset Portfolios (a summary)
Specifying and Managing Tail Risk in Multi-Asset Portfolios (a summary) Pranay Gupta, CFA Presentation at the 12th Annual Research for the Practitioner Workshop, 19 May 2013 Summary prepared by Pranay
PROJECT RISK MANAGEMENT: CONTEXT, TOOLS AND REAL WORLD APPLICATIONS. Mairav Mintz, PE, CCM Sagar Khadka, DRMP, FAACE
PROJECT RISK MANAGEMENT: CONTEXT, TOOLS AND REAL WORLD http://pmsymposium.umd.edu 1 APPLICATIONS Mairav Mintz, PE, CCM Sagar Khadka, DRMP, FAACE 2018 Project Management Symposium Friday, May 11, 2018 9:45am
Welfare-Based Measures of Income Insecurity in Fixed Effects Models by N. Rhode, K. Tang, C. D Ambrosio, L. Osberg, P. Rao
Welfare-Based Measures of Income Insecurity in Fixed Effects Models by N. Rhode, K. Tang, C. D Ambrosio, L. Osberg, P. Rao Discussion by (Deutsche Bundesbank) This presentation represents the authors personal
From Financial Risk Management. Full book available for purchase here.
From Financial Risk Management. Full book available for purchase here. Contents Preface Acknowledgments xi xvii CHAPTER 1 Introduction 1 Banks and Risk Management 1 Evolution of Bank Capital Regulation
Oxford Economics: Macromodelling. contagion & downside risks. Keith Church Director of Macroeconomic Modelling.
Oxford Economics: Macromodelling - capturing contagion & downside risks Keith Church Director of Macroeconomic Modelling kchurch@oxfordeconomics.com December 2015 Introduction How should macro models be
Regulation of Systemic Risk in Insurance
Regulation of Systemic Risk in Insurance October 28, 2016 Richard Rosen Vice President and Research Advisor Federal Reserve Bank of Chicago The views expressed here are not necessarily those of the Federal
GPCO 453: Quantitative Methods I Review: Hypothesis Testing
GPCO 453: Quantitative Methods I Review: Hypothesis Testing Shane Xinyang Xuan 1 ShaneXuan.com December 6, 2017 1 Department of Political Science, UC San Diego, 9500 Gilman Drive #0521. ShaneXuan.com 1
EDITOR S CORNER. Robert Litterman Executive Editor
EDITOR S CORNER Robert Litterman Executive Editor Who Should Hedge Tail Risk? In a somewhat ironic turn of events, many investment banks began selling insurance against equity tail risk to institutional
Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management. > Teaching > Courses
Master s in Financial Engineering Foundations of Buy-Side Finance: Quantitative Risk and Portfolio Management www.symmys.com > Teaching > Courses Spring 2008, Monday 7:10 pm 9:30 pm, Room 303 Attilio Meucci
Risk measures: Yet another search of a holy grail
Risk measures: Yet another search of a holy grail Dirk Tasche Financial Services Authority 1 dirk.tasche@gmx.net Mathematics of Financial Risk Management Isaac Newton Institute for Mathematical Sciences
CHAPTER II LITERATURE STUDY
CHAPTER II LITERATURE STUDY 2.1. Risk Management Monetary crisis that strike Indonesia during 1998 and 1999 has caused bad impact to numerous government s and commercial s bank. Most of those banks eventually
E.D.A. Exploratory Data Analysis E.D.A. Steps for E.D.A. Greg C Elvers, Ph.D.
E.D.A. Greg C Elvers, Ph.D. 1 Exploratory Data Analysis One of the most important steps in analyzing data is to look at the raw data This allows you to: find observations that may be incorrect quickly
The Actuarial Society of Hong Kong RISK ADJUSTMENT Insurance IFRS Seminar. Chris Hancorn. Session 11
The Actuarial Society of Hong Kong RISK ADJUSTMENT 2017 Insurance IFRS Seminar Chris Hancorn Session 11 Risk adjustment for non-financial risk Agenda Allowing for non-financial risks the risk adjustment
Statement of the Problem: Need for a New Approach to ERM
Correlation of Risks, Integrating Risk Measurement Risk Aggregation The 4 th Annual Enterprise Risk Management Symposium, Chicago By Thomas S.Y. Ho Ph.D. President Thomas Ho Company (THC) www.thomasho.com
Stress Testing Best Practices
Stress Testing Best Practices ˇ Iulian Cotoi and Robert Stamicar June 2017 Why Stress Tests In our last note, we discussed how optimization techniques can help fixed-income managers construct portfolios.
Solvency II Update. Latest developments and industry challenges (Session 10) Réjean Besner
Solvency II Update Latest developments and industry challenges (Session 10) Canadian Institute of Actuaries - Annual Meeting, 29 June 2011 Réjean Besner Content Solvency II framework Solvency II equivalence
Fundamental Review of the Trading Book (FRTB)
Fundamental Review of the Trading Book (FRTB) http://www.bis.org/bcbs/publ/d352.pdf Symposium London, November 23 rd, 2016 London, November 23 rd, 2016 Any views expressed in this presentation are those
HSBC North America Holdings Inc Mid-Cycle Company-Run Dodd-Frank Act Stress Test Results. Date: July 16, 2015
Date: July 16, 2015 TABLE OF CONTENTS PAGE 1. Overview of Mid-Cycle Company-Run Dodd-Frank Act Stress Test... 1 2. Description of the Bank Holding Company Severely Adverse scenario... 1 3. Forecasting
ATTILIO MEUCCI Advanced Risk and Portfolio Management The Only Heavily Quantitative, Omni-Comprehensive, Intensive Buy-Side Bootcamp
ATTILIO MEUCCI Advanced Risk and Portfolio Management The Only Heavily Quantitative, Omni-Comprehensive, Intensive Buy-Side Bootcamp August 16-21, 2010, Baruch College, 55 Lexington Avenue, New York www.baruch.cuny.edu/arpm
ICE CDS Margin Calculator ICE Link GUI. March 2012
ICE CDS Margin Calculator ICE Link GUI March 2012 1 ICE CDS Margin Simulation Calculator Summary Buy-side firms can access the Margin Simulation Calculator to simulate margin requirements via the ICE Link
Comprehensive Performance Measurement for Pension Funds - some initial Thoughts
IIPC Consulting AG Comprehensive Performance Measurement for Pension Funds - some initial Thoughts Date: 18. August 2011 Date: 18. August 2011 - Slide 1 Agenda Introduction Cause for analysis and research
Equity Research Methodology
Equity Research Methodology Morningstar s Buy and Sell Rating Decision Point Methodology By Philip Guziec Morningstar Derivatives Strategist August 18, 2011 The financial research community understands
MURE POLICY SCOREBOARD METHODOLOGY
MURE POLICY SCOREBOARD METHODOLOGY The objective of the energy efficiency scoreboard tool is to assess and score the energy efficiency policies of the EU28 by country and by sector (households, transport,
Risk Capital for Non-Performing Loans
OPENRISK WHITE PAPER Risk Capital for Non-Performing Loans Authors: Philippos Papadopoulos, Xiayan (Jason) Wang February 26, 2016 www.openrisk.eu The open future of risk management SUMMARY We develop a
APPLICATION OF FINANCIAL MANAGEMENT TECHNIQUES
MAC3702 APPLICATION OF FINANCIAL MANAGEMENT TECHNIQUES FREQUENTLY ASKED QUESTIONS 1. Can I expect to see identical examination questions as included in MAC3702 previous exam papers or other questions included
Deutsche Bank Annual Report 2017 https://www.db.com/ir/en/annual-reports.htm
Deutsche Bank Annual Report 2017 https://www.db.com/ir/en/annual-reports.htm in billions 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Assets: 1,925 2,202 1,501 1,906 2,164 2,012 1,611 1,709 1,629
Validation of Nasdaq Clearing Models
Model Validation Validation of Nasdaq Clearing Models Summary of findings swissquant Group Kuttelgasse 7 CH-8001 Zürich Classification: Public Distribution: swissquant Group, Nasdaq Clearing October 20,
Risk Containment for Hedge Funds
Risk Containment for Hedge Funds Anish R. Shah, CFA Northfield Information Services Anish@northinfo.com Apr 19, 2007 Raging Asset Class 30 fold growth in assets under management since 1990 estimate > 2000
GLOBAL FINANCIAL FORECAST
GLOBAL FINANCIAL FORECAST 2018 2025 GLOBAL FINANCIAL FORECAST Fiera Capital is updating its long-term Global Financial Forecast1. The goal of this exercise is to help investors establish strategic portfolios
Finance 651: PDEs and Stochastic Calculus Midterm Examination November 9, 2012
Finance 651: PDEs and Stochastic Calculus Midterm Examination November 9, 2012 Instructor: Bjørn Kjos-anssen Student name Disclaimer: It is essential to write legibly and show your work. If your work is
Understanding BCAR for U.S. Property/Casualty Insurers
BEST S METHODOLOGY AND CRITERIA Understanding BCAR for U.S. Property/Casualty Insurers October 13, 2017 Thomas Mount: 1 908 439 2200 Ext. 5155 Thomas.Mount@ambest.com Stephen Irwin: 908 439 2200 Ext. 5454
Oracle Financial Services Market Risk User Guide
Oracle Financial Services User Guide Release 8.0.1.0.0 August 2016 Contents 1. INTRODUCTION... 1 1.1 PURPOSE... 1 1.2 SCOPE... 1 2. INSTALLING THE SOLUTION... 3 2.1 MODEL UPLOAD... 3 2.2 LOADING THE DATA...
DEFENSE ACQUISITION UNIVERSITY EMPLOYEE SELF-ASSESSMENT. Outcomes and Enablers
1 Recognize key concepts about Earned Value as an integrated program management tool that integrates cost, schedule, and technical performance Recognize that Earned Value is a management tool that program
Managing the Uncertainty: An Approach to Private Equity Modeling
Managing the Uncertainty: An Approach to Private Equity Modeling We propose a Monte Carlo model that enables endowments to project the distributions of asset values and unfunded liability levels for the
TREASURY INFLATION PROTECTED SECURITIES
Strategic. Independent. Relational. Transparent. TREASURY INFLATION PROTECTED SECURITIES JUNE 2017 Part I: An Introduction to TIPS 1 Executive Summary Treasury-Inflation-Protected Securities (TIPS) allow
*Corresponding author: Lawrence J. White, The NYU Stern School of Business.
DOI 10.1515/ev-2013-0002 The Economists Voice 2013; 10(1): 15 19 Viral Acharya, Matthew Richardson, Stijn Van Nieuwerburgh and Lawrence J. White* Guaranteed to Fail: Fannie Mae and Freddie Mac and What
SEC 22e-4 Solution for Liquidity
SEC 22e-4 Solution for Liquidity 22E-4 LIQUIDITY RISK MANAGEMENT PROGRAM OBJECTIVES Promote effective liquidity risk management for mutual funds and ETFs Enhance disclosure of fund liquidity and redemption
Executive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios
Executive Summary: A CVaR Scenario-based Framework For Minimizing Downside Risk In Multi-Asset Class Portfolios Axioma, Inc. by Kartik Sivaramakrishnan, PhD, and Robert Stamicar, PhD August 2016 In this
Trading Volume, Volatility and ADR Returns
Trading Volume, Volatility and ADR Returns Priti Verma, College of Business Administration, Texas A&M University, Kingsville, USA ABSTRACT Based on the mixture of distributions hypothesis (MDH), this paper
Comprehensive Assessment. Analyst presentation. Jukka Vesala, Director General Micro-Prudential Supervision III
Comprehensive Assessment Analyst presentation Jukka Vesala, Director General Micro-Prudential Supervision III John Fell, Acting Director General Macro-Prudential Policy & Financial Stability Sunday 26
PRESENTATION TO: Don A. d Adesky Managing Director RaymondJames-TheAmericasGroup.
PRESENTATION TO: Don A. d Adesky Managing Director 561-981-3690 TheAmericasGroup@RaymondJames.com RaymondJames-TheAmericasGroup.com 1 RAYMOND JAMES AT A GLANCE Raymond James has delivered 111 consecutive
Solvency II - Risk Management Strategies for Insurance Businesses
Solvency II - Risk Management Strategies for Insurance Businesses A 1 or 2 Day programme for Insurance professionals This course can also be presented in-house for your company or via live on-line webinar
Asset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst
Asset/Liability Management Series Session 1 Presenter: Sasha Khandoker ALM Analyst 1 2 1 What is ALM? Why are we asked to perform ALM? What is the goal of ALM? How can we use it? 3 Creating and managing
Stress Scenario Design: Challenges and Principles
Stress Scenario Design: Challenges and Principles Matt Pritsker Federal Reserve Bank of Boston June 2014 Presentation at Boston Stress Test Conference The views in this presentation are those of the author
Vega Maps: Predicting Premium Change from Movements of the Whole Volatility Surface
Vega Maps: Predicting Premium Change from Movements of the Whole Volatility Surface Ignacio Hoyos Senior Quantitative Analyst Equity Model Validation Group Risk Methodology Santander Alberto Elices Head
Managing Cash Flows in Volatile Markets Tools, Techniques and Global Experience
www.pwc.com Managing Cash Flows in Volatile Markets Tools, Techniques and Global Experience 24-26 Agenda Backdrop Framework for Financial Risk Management The Cash Flow at Risk Model Q&A Slide 2 Backdrop
EACB Comments on the Consultative Document of the Basel Committee on Banking Supervision. Fundamental review of the trading book: outstanding issues
EACB Comments on the Consultative Document of the Basel Committee on Banking Supervision Fundamental review of the trading book: outstanding issues Brussels, 19 th February 2015 The voice of 3.700 local
ECONOMIC COMMENTARY. When Might the Federal Funds Rate Lift Off? Edward S. Knotek II and Saeed Zaman
ECONOMIC COMMENTARY Number 213-19 December 4, 213 When Might the Federal Funds Rate Lift Off? Computing the Probabilities of Crossing Unemployment and Inflation Thresholds (and Floors) Edward S. Knotek
Applying the Principles of Quantitative Finance to the Construction of Model-Free Volatility Indices
Applying the Principles of Quantitative Finance to the Construction of Model-Free Volatility Indices Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg
Regulatory Capital Disclosures Report. For the Quarterly Period Ended March 31, 2014
REGULATORY CAPITAL DISCLOSURES REPORT For the quarterly period ended March 31, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital
Solvency II - Risk Management Strategies for Insurance Businesses
Solvency II - Risk Management Strategies for Insurance Businesses A 1 or 2 Day programme for Insurance professionals This in-house course can also be presented face to face in-house or via live inhouse
ACHIEVING DIVERSIFICATION IN GLOBAL PORTFOLIO THROUGH FRONTIER MARKETS
Int. J. Mgmt Res. & Bus. Strat. 2014 Prakhar Porwal, 2014 ISSN 2319-345X www.ijmrbs.com Vol. 3, No. 1, January 2014 2014 IJMRBS. All Rights Reserved ACHIEVING DIVERSIFICATION IN GLOBAL PORTFOLIO THROUGH
A.M. Best s Updated Credit Rating Methodology and Capital Model. Robert Raber Senior Financial Analyst A.M. Best Company
A.M. Best s Updated Credit Rating Methodology and Capital Model Robert Raber Senior Financial Analyst A.M. Best Company 1 Contents A.M. Best Company Overview Updated Best s Credit Rating Methodology (BCRM)
IEOR E4602: Quantitative Risk Management
IEOR E4602: Quantitative Risk Management Risk Measures Martin Haugh Department of Industrial Engineering and Operations Research Columbia University Email: martin.b.haugh@gmail.com Reference: Chapter 8
Discussion of Capital Injection to Banks versus Debt Relief to Households
Discussion of Capital Injection to Banks versus Debt Relief to Households Atif Mian Princeton University and NBER Jinhyuk Yoo asks an important and interesting question in this paper: if policymakers have
Market Risk Capital Disclosures Report. For the Quarterly Period Ended June 30, 2014
MARKET RISK CAPITAL DISCLOSURES REPORT For the quarterly period ended June 30, 2014 Table of Contents Page Part I Overview 1 Morgan Stanley... 1 Part II Market Risk Capital Disclosures 1 Risk-based Capital
Are Your Risk Tolerance and LDI Glide Path in Sync?
Are Your Risk Tolerance and LDI Glide Path in Sync? Wesley Phoa, LDI Portfolio Manager, Capital Group Luke Farrell, LDI Investment Specialist, Capital Group The Plan Sponsor s Mission Dual accountability
PORTFOLIO SUMMARY. Prepared For Mrs Example Client. Relating to Pension Plan A. Prepared By Andrew Raven Training O&M Systems R E P O R T
PORTFOLIO SUMMARY Prepared For Mrs Example Client Relating to Pension Plan A Prepared By Andrew Raven Training O&M Systems This report is designed to provide a portfolio summary. It includes portfolio
Methodology Review Seminar
etc.venues St.Paul s, London Methodology Review Seminar 16 November 2016 Methodology Review Seminar Welcome and Introduction Overview of the Structural Changes to Best's Credit Rating Methodology Greg
An introduction to Operational Risk
An introduction to Operational Risk John Thirlwell Finance Dublin, 29 March 2006 Setting the scene What is operational risk? Why are we here? The operational risk management framework Basel and the Capital
Guidance paper on the use of internal models for risk and capital management purposes by insurers
Guidance paper on the use of internal models for risk and capital management purposes by insurers October 1, 2008 Stuart Wason Chair, IAA Solvency Sub-Committee Agenda Introduction Global need for guidance
Machine Learning for Volatility Trading
Machine Learning for Volatility Trading Artur Sepp artursepp@gmail.com 20 March 2018 EPFL Brown Bag Seminar in Finance Machine Learning for Volatility Trading Link between realized volatility and P&L of
2018 Mid-Cycle Stress Test Disclosure
DB USA Corporation 2018 Mid-Cycle Stress Test Disclosure TABLE OF CONTENTS 1 OVERVIEW AND REQUIREMENTS... 3 1.1 Overview and Description of DB USA Corp. s Severely Adverse Scenario... 4 2 RISK TYPES...
Functional document: Asset allocation: plan level, goal level, and scenario level NaviPlan Premium Level 1 R
Functional document: Asset allocation: plan level, goal level, and scenario level NaviPlan Premium Level 1 R Level 2 R functions addressed in this document: How does NaviPlan determine the investor profile
2016 European Union Stress Test Process: Methodology and practice
2016 European Union Stress Test Process: Methodology and practice Mario Quagliariello, Head of the Risk Analysis Unit XIV JORNADA ANUAL DE RIESGOS 12 November 2015, Madrid Outline 2016 EU-wide stress test
Debt Policy Ratio Review. March 25, 2009
Debt Policy Ratio Review March 25, 2009 1. Ratio definitions. 2. Key assumptions. 3. Historical & Projected Ratios 4. Peer Comparisons 5. Closing Points. 0 Ratio Definitions Expendable Resources to Debt:
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level Wayne Fisher, Stéphane Loisel, Shaun Wang To cite this version: Wayne Fisher,
Lecture notes on risk management, public policy, and the financial system Credit risk models
Lecture notes on risk management, public policy, and the financial system Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: June 8, 2018 2 / 24 Outline 3/24 Credit risk metrics and models
Cost Risk and Uncertainty Analysis
MORS Special Meeting 19-22 September 2011 Sheraton Premiere at Tysons Corner, Vienna, VA Mort Anvari Mort.Anvari@us.army.mil 1 The Need For: Without risk analysis, a cost estimate will usually be a point
Use of Semantic Analytics for Contract Certainty
Use of Semantic Analytics for Contract Certainty AIDA Europe Conference, Warsaw 12/13 April 2018 Thomas Blanz-Gilbert Insurance Risk Team Insurance Group Group Risk Management International Insurance Programs
Article from: Risk Management. June 2009 Issue 16
Article from: Risk Management June 29 Issue 16 CHSPERSON S Risk quantification CORNER A Review of the Performance of Near Term Hurricane Models By Karen Clark Introduction Catastrophe models are valuable
Chapter 7. Confidence Intervals and Sample Sizes. Definition. Definition. Definition. Definition. Confidence Interval : CI. Point Estimate.
Chapter 7 Confidence Intervals and Sample Sizes 7. Estimating a Proportion p 7.3 Estimating a Mean µ (σ known) 7.4 Estimating a Mean µ (σ unknown) 7.5 Estimating a Standard Deviation σ In a recent poll,
April 6, Table of contents. Global Inflation Outlook
Global Inflation Outlook Global Inflation Outlook April 6, 2018 This document contains a selection of charts that are the output of Fulcrum s quantitative toolkit for monitoring global inflation trends.
Bear Market Strategies Time Spreads And Straddles
The Option Pit Method Bear Market Strategies Time Spreads And Straddles Option Pit BMS- Time Spreads and Straddles What we will cover: Simple Capital Allocation Stock Replacement Time Frame The Juiced
FTSE ActiveBeta Index Series: A New Approach to Equity Investing
FTSE ActiveBeta Index Series: A New Approach to Equity Investing 2010: No 1 March 2010 Khalid Ghayur, CEO, Westpeak Global Advisors Patent Pending Abstract The ActiveBeta Framework asserts that a significant
Economic Scenario Generators
Economic Scenario Generators A regulator s perspective Falk Tschirschnitz, FINMA Bahnhofskolloquium Motivation FINMA has observed: Calibrating the interest rate model of choice has become increasingly
WALL STREET OASIS WEBINAR HEDGE FUND INTERVIEW PITCH + WALKING THROUGH INVESTMENT SELECTION AND RESEARCH
WALL STREET OASIS WEBINAR HEDGE FUND INTERVIEW PITCH + WALKING THROUGH INVESTMENT SELECTION AND RESEARCH WHAT WE WILL COVER TODAY CONGRATULATIONS, YOU SCORED AN INTERVIEW AT A HF. HOW DO YOU PREPARE? WHAT
Schroder International Small Cap Equity
Schroder International Small Cap Equity Strategy Overview Summary Firm highlights Team highlights Founded in 1804, with a strong family presence to this day Asset management is our main business Over 700
Risk Modeling: Lecture outline and projects. (updated Mar5-2012)
Risk Modeling: Lecture outline and projects (updated Mar5-2012) Lecture 1 outline Intro to risk measures economic and regulatory capital what risk measurement is done and how is it used concept and role
You can report the following types of losses through this application: Auto, property, WC and General Liability/Umbrella.
Crum&Forster Internet Claim Reporting - Auto The Crum&Forster Internet loss reporting facility can be accessed through the C&F website by entering http://agents.cfins.com or http://claims.cfins.com. You
Razor Risk Market Risk Overview
Razor Risk Market Risk Overview Version 1.0 (Final) Prepared by: Razor Risk Updated: 20 April 2012 Razor Risk 7 th Floor, Becket House 36 Old Jewry London EC2R 8DD Telephone: +44 20 3194 2564 e-mail: peter.walsh@razor-risk.com
Report 2 Instructions - SF2980 Risk Management
Report 2 Instructions - SF2980 Risk Management Henrik Hult and Carl Ringqvist Nov, 2016 Instructions Objectives The projects are intended as open ended exercises suitable for deeper investigation of some