Risk Measures Overview
|
|
- Elmer Edwards
- 6 years ago
- Views:
Transcription
1 Risk Measures Overview A Cross-Form Comparison Guide Version 2 Advise Technologies support@advisetechnologies.com
2 Risk Measures Overview A Cross-Form Comparison Guide Published May Copyright 2017 Advise Technologies. All rights reserved. Advise believes the information in this publication is accurate as of its publication date. The information is subject to change without notice and does not represent a commitment on the part of Advise. Advise has exercised care to avoid errors but makes no warranty that this publication is error or omission free. If you find any problems in the publication, please report them to us in writing. THE SOFTWARE AND THE INFORMATION IN THIS PUBLICATION IS PROVIDED AS IS. ADVISE MAKES NO REPRESENTATIONS OR WARRANTIES WHATSOEVER, INCLUDING WITHOUT LIMITATION IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. The Software and this publication contain proprietary information of Advise; they are provided under a license agreement containing restrictions on use, copying and disclosure and are also protected by copyright, patent and other intellectual and property laws. Reverse engineering, disassembly or decompilation of the software is prohibited. Except as expressly permitted in the license agreement, no part of this publication may be reproduced or transmitted in any form or by any means. All trademarks mentioned in this document belong to their respective owners Advise Technologies CONFIDENTIAL Page i
3 Table of Contents 2017 Advise Technologies CONFIDENTIAL Page ii
4 OVERVIEW Regulatory reporting forms seek to measure risk by specifying: The name of the metric used to calculate risk How risk is defined The formula used to calculate risk Required shock values that must be applied Advise compared six forms Solvency II, AIFMD, Form PF, CPO-PQR, Open Protocol, and Form N-PORT to evaluate how risk measures are applied across asset classes. Our analysis included the following risk measures and asset classes: Interest Rates, Spread, Property, Implied Volatility, FX Delta, Commodities, Default Risk, and Value at Risk (VaR). Our analysis found that: Risk measures are defined differently by each form across asset classes. The formula used to calculate risk is identical across the following asset classes (where applicable): Equities, Interest Rate, Spreads, Property, and Implied Volatility. Shock values are different across asset classes. For VaR: definitions, holding period, confidence level, data set period, and calculation methods vary by form. NOTE: In this document, Solvency II risk metrics are based on the standard formula as defined in Directive 2009/138/EC and Regulation 2015/35/EU. NOTE: A complete list of source materials appears in the References section. NOTE: For Form CPO-PQR, the risk measures described in this document are only applicable to large pools (Question C2 4). NOTE: For AIFMD, the risk measures described in this document are defined in an ESMA opinion and vary by jurisdiction; individual jurisdictions may change their requirements in the future. NOTE: For AIFMD, stress tests (Question F ) were not included as part of this analysis Advise Technologies CONFIDENTIAL Page 1
5 EQUITY Form Metric Definition Shock Type Shock Values Solvency II SCR Equity (Type 1/2) Sensitivity of the values of assets, liabilities, and financial instruments to changes in the level or in the volatility of market prices of equities (equity risk). Current value * X% - 22% or - 39% or - 49% AIFMD Net Equity Delta The portfolio s sensitivity to movements in equity prices. Current value * X% - 20% Form PF Change in Equity Prices The portfolio s sensitivity to movements in equity prices where shocks are applied to LONGS & SHORTS separately. CPO-PQR Change in Equity Prices The portfolio s sensitivity to movements in equity prices where shocks are applied to LONGS & SHORTS separately (for LARGE pools only). Current value * X% Current value * X% +/- 5% and +/- 20% +/- 5% and +/- 20% Open Protocol Change in Equity Prices The portfolio s sensitivity to movements in equity prices calculated for Large/Small Cap. The change is relative to the current equities level. Current value * X% +/- 10% Form N-PORT 2017 Advise Technologies CONFIDENTIAL Page 1
6 INTEREST RATES Form Metric Definition Shock Type Shock Values Solvency II SCR Interest Sensitivity of the values of assets, liabilities, and financial instruments to changes in the term structure of interest rates, or in the volatility of interest rates (interest rate risk). NOTE: Inflation risk is not explicitly modelled in SCR and it is assumed its effect is already included into the prescribed shock. Current rate + X% Up shock: MIN [1%, r+70% / r+20%] Down shock: MAX [0%, r-75% / r - 20%] AIFMD Net DV01 Basis Point Value the portfolio s sensitivity to a change in the yield curve. Assume an increase of 1bp in the yield curves that the fund is exposed to (assume a parallel shift). Report the effect on the total net asset value of the AIF as a monetary value in base currency for each maturity bucket as specified (short/intermediate/long). Current rate + X% 0.01% Form PF Parallel Shift of Yield Curve The portfolio s sensitivity to parallel shifts of yield curve (risk-free rates) where shocks are applied to LONGS & SHORTS separately. Current rate + X% +/- 0.25% and +/- 0.75% CPO-PQR Parallel Shift of Yield Curve The portfolio s sensitivity to parallel shifts of yield curve (risk-free rates) where shocks are applied to LONGS & SHORTS separately (for LARGE pools only). Current rate + X% +/- 0.25% and +/- 0.75% Open Protocol Change in Sovereign Rates (RFR) The portfolio s sensitivity calculated to change in Shortterm (<1Y) and Long-term (>1Y) interest rates separately. Change is relative to the current interest rate curve. Current rate + X% +/- 5% and +/- 10% 2017 Advise Technologies CONFIDENTIAL Page 2
7 Form Metric Definition Shock Type Shock Values Form N-PORT DV01 and DV100 The portfolio s sensitivity to changes in interest rates for each currency that is 1% of the fund s NAV. Must be calculated over the following maturities: 3-months, 1- year, 5-years, 10-years, and 30-years. (NOTE: If maturities fall between those durations, then linear interpolation must be applied.) Firms may use their own methodologies for this calculation. Current rate + X% +/- 0.01% and +/- 1% 2017 Advise Technologies CONFIDENTIAL Page 3
8 SPREAD Form Metric Definition Shock Type Shock Values Solvency II SCR Spread Sensitivity of the values of assets, liabilities, and financial instruments to changes in the level or in the volatility of credit spreads over the risk-free interest rate term structure (spread risk). Current spread * X% Complex calculations between 0.9% - 100% AIFMD Net CS01 The portfolio s sensitivity to a change in credit spreads. Assume a general increase in all credit spreads of 1bp. Report the effect on the total net asset value of the AIF as a monetary value in base currency for maturity bucket as specified (short/intermediate/long). Current spread + X% 0.01% Form PF Credit Spreads The portfolio s sensitivity to change in credit spreads where shocks are applied to LONGS & SHORTS separately. CPO-PQR Credit Spreads The portfolio s sensitivity to change in credit spreads where shocks are applied to LONGS & SHORTS separately (for LARGE pools only). Open Protocol Credit Spreads The portfolio s sensitivity calculated to change in credit spreads split between Investment Grade and Non- Investment Grade bonds reported separately. Change is relative to the current interest rate curve. Current spread * X% Current spread * X% Current spread * X% +/- 0.5% and +/- 2.5% +/- 0.5% and +/- 2.5% +/- 5% and +/- 10% Form N-PORT SDV01/CR01/CS01 The portfolio s sensitivity to change in credit spreads. Shift is applied to the option-adjusted spread aggregated by investment/non-investment grade. (NOTE: Credit spread may also relate to CDS spread.) Current spread * X% +/- 0.01% 2017 Advise Technologies CONFIDENTIAL Page 4
9 PROPERTY Form Metric Definition Shock Type Shock Values Solvency II SCR Property Sensitivity of the values of assets, liabilities, and financial instruments to changes in the level or in the volatility of market prices of real estate (property risk). Current value * X% - 25% AIFMD Form PF CPO-PQR Open Protocol Form N-PORT 2017 Advise Technologies CONFIDENTIAL Page 5
10 IMPLIED VOLATILITY Form Metric Definition Shock Type Shock Values Solvency II Volatility is not implicitly tested in SII SCR for asset managers. However, an insurance company can tweak volatility at high-level by recalculating its liabilities and making adjustments to volatility input. AIFMD Vega Exposure Current vega factor (multiplier) of the portfolio defined as the sensitivity of the total net asset value to an increase of 1 percentage point of implied volatilities. Current volatility * X% +/- 10% Form PF Implied Volatility The portfolio s sensitivity to change in implied volatilities for options where shocks are applied to LONGS & SHORTS separately. CPO-PQR Implied Volatility The portfolio s sensitivity to change in implied volatilities for options where shocks are applied to LONGS & SHORTS separately (for LARGE pools only). Current volatility * X% Current volatility * X% +/- 4% and +/- 10% +/- 4% and +/- 10% Open Protocol Implied Volatility The portfolio s sensitivity to change in implied volatilities for options. Change is relative to the current implied volatility level. Current volatility * X% +/- 10% Form N-PORT 2017 Advise Technologies CONFIDENTIAL Page 6
11 FX. Form Metric Definition Shock Type Shock Values Solvency II SCR FX Sensitivity of the values of assets, liabilities, and financial instruments to changes in the level or in the volatility of currency exchange rates (currency risk). AIFMD Net FX Delta Assume all currencies appreciate by 20% relative to the fund s base currency. Report the effect on the total net asset value of the AIF as a monetary value in base currency. Current FX rate * Shock +/- 25% Current FX rate * Shock + 20% Form PF Currency Rates The portfolio s sensitivity to change in currency rates relative to the fund's base currency where shocks are applied to LONGS & SHORTS separately. CPO-PQR Currency Rates The portfolio s sensitivity to change in currency rates relative to the fund's base currency where shocks are applied to LONGS & SHORTS separately (for LARGE pools only). Current FX rate * Shock Current FX rate * Shock +/- 5% and +/- 20% +/- 5% and +/- 20% Open Protocol Currency Rates The portfolio s sensitivity to change in exchange rate of USD relative to the portfolio local currencies. Current FX rate * Shock +/- 10% Form N-PORT 2017 Advise Technologies CONFIDENTIAL Page 7
12 COMMODITIES Form Metric Definition Shock Type Shock Values Solvency II SCR Equity 2 Sensitivity of the values of assets, liabilities, and financial instruments to changes in the level or in the volatility of market prices of equities (equity risk). Commodities are treated as Equity type 2. AIFMD Net CMD Delta Assume the prices of all physical commodities increase by 40%. Report the effect on the total net asset value of the AIF as a monetary value in base currency. Current value * X% - 49% Current value * X% + 40% Form PF Commodity Prices The portfolio s sensitivity to movements in commodity prices where shocks are applied to LONGS & SHORTS separately. CPO-PQR Commodity Prices The portfolio s sensitivity to movements in commodity prices where shocks are applied to LONGS & SHORTS separately (for LARGE pools only). Current value * X% Current value * X% +/- 10% and +/- 40% +/- 10% and +/- 40% Open Protocol Commodity Prices The portfolio s sensitivity to movements in commodity prices with additional breakdowns for shocks in Metal and Energy prices. Current value * X% +/- 10% Form N-PORT 2017 Advise Technologies CONFIDENTIAL Page 8
13 DEFAULT RISK Form Metric Definition Shock Type Shock Values Solvency II SCR Default Risk Consists of default risk to counterparty exposure types 1 and 2 with an interaction (covariance) coefficient of 1.5 and given by the formula in Art. 189 of the Regulation. Currently, this is not in the scope of the Consensus RMS Solvency II module and is calculated by an insurance company based on input from the asset manager. Complex formula based on loss-given default (LGD) and variance of loss AIFMD Form PF Default Rates The portfolio s sensitivity to change in default rates of the fund where shocks are applied separately to LONGS & SHORTS, ABS, and Corporate Bonds/CDS. CPO-PQR Default Rates The portfolio s sensitivity to change in default rates of the fund where shocks are applied separately to LONGS & SHORTS, ABS, and Corporate Bonds/CDS. Applies only to LARGE pools. Current value + X% Current value + X% +/- 1% and +/- 5% +/- 1% and +/- 5% Open Protocol Form N-PORT 2017 Advise Technologies CONFIDENTIAL Page 9
14 VAR VaR Definition Holding Period Confidence Level Data Set Period Calculation Solvency II AIFMD Form PF CPO-PQR In SII, SCRs are calibrated by insurance companies (high level) and not asset managers. There is no requirement for an asset manager to calculate VaR for SII. Reporting risk measures as outlined in ESMA opinion ESMA/2013/1340. Form PF Q40: During the reporting period, did you regularly calculate the VaR of the reporting fund? If YES, then fill in VaR values. QC2-4 (Large pools only): Did large CPO regularly calculate the VaR of Large Pool during reporting period? 20 Days 99% 250 Days Historical Simulation Parametric Monte-Carlo Simulation Variable Value Variable Value Variable Value Historical Simulation Parametric Monte-Carlo Simulation Other Variable Value Variable Value Variable Value Historical Simulation Parametric Monte-Carlo Simulation Other Open Protocol Section 8 (VaR/CVaR) 1 day 95% Variable Value Historical Simulation Parametric Monte-Carlo Simulation Other Form N-PORT Managers can determine the values used for these fields. All values must be disclosed on the form itself Advise Technologies CONFIDENTIAL Page 10
15 GREEKS AND RELATED DATA POINTS The table below shows how different risk metrics apply across forms. Open Protocol Solvency II Form PF AIFMD CPO-PQR Form N-PORT Beta Delta Gamma Vega Theta CS01 * DV01 Z-Spread Yield to Maturity Yield to the Next Call OAS * May also apply to SDV01 and CR01. May also apply to DV Advise Technologies CONFIDENTIAL Page 11
16 Open Protocol Solvency II Form PF AIFMD CPO-PQR Form N-PORT Cash on Cash Yield Yield to Worst Current Yield Yield to Best CDS Spread Net Equity Delta Default Spread Beta Semideviation Sharpe Ratio Skewness Sortino Ratio Stress VaR/Stress Test Standard Deviation Profit-at-Risk Residual Risk 2017 Advise Technologies CONFIDENTIAL Page 12
17 Open Protocol Solvency II Form PF AIFMD CPO-PQR Form N-PORT Earnings-at-Risk Expected Shortfall/CVaR Inflation Beta Information Ratio Kurtosis Liquidity Adjusted Value at Risk Marginal Expected Shortfall Maximum Drawdown Omega Ratio Risk-Based Leverage Scenario Analysis 2017 Advise Technologies CONFIDENTIAL Page 13
18 REFERENCES 12.1 Solvency II Directive 2009/138/EC: Regulation 2015/35/EU: AIFMD Directive 2011/61/24: Regulation : ESMA Opinion Guidelines: _opinion_on_collection_of_information_under_aifmd_for_publication.pdf 12.3 Form PF Form PF Paper Form: Dodd-Frank Legislation: Form PF Frequently Asked Questions: Advise Technologies CONFIDENTIAL Page 14
19 12.4 CPO-PQR Pool Quarterly Report For Commodity Pool Operators: Open Protocol Template and Manual: Frequently Asked Questions: Form N-PORT Final Rule: Investment Company Reporting Modernization: CONTACT For more information, please contact: Data & Analytics Team Advise Technologies +1 (212) Advise Technologies CONFIDENTIAL Page 15
Risk e-learning. Modules Overview.
Risk e-learning Modules Overview Risk Sensitivities Market Risk Foundation (Banks) Understand delta risk sensitivity as an introduction to a broader set of risk sensitivities Explore the principles of
More informationAIFMD - Risk Management and the related reporting challenges Where do we stand?
Business Unit AIFMD - Risk Management and the related reporting challenges Where do we stand? Strictly Private and Confidential 22 April 2015 Agenda Page 1 Risk Management under AIFMD Rules or principles?
More informationOracle Financial Services Market Risk User Guide
Oracle Financial Services Market Risk User Guide Release 2.5.1 August 2015 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
More informationOracle Financial Services Market Risk User Guide
Oracle Financial Services User Guide Release 8.0.4.0.0 March 2017 Contents 1. INTRODUCTION... 1 PURPOSE... 1 SCOPE... 1 2. INSTALLING THE SOLUTION... 3 2.1 MODEL UPLOAD... 3 2.2 LOADING THE DATA... 3 3.
More informationGuidelines Guidelines on stress tests scenarios under Article 28 of the MMF Regulation
Guidelines Guidelines on stress tests scenarios under Article 28 of the MMF Regulation 21/03/2018 ESMA34-49-115 Table of Contents 1 Scope... 3 2 Purpose... 4 3 Compliance and reporting obligations... 5
More informationMarket 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
More informationTechnical Specifications part II on the Long-Term Guarantee Assessment Final version
EIOPA/12/307 25 January 2013 Technical Specifications part II on the Long-Term Guarantee Assessment Final version Purpose of this document This document contains part II of the technical specifications
More informationHANDBOOK OF. Market Risk CHRISTIAN SZYLAR WILEY
HANDBOOK OF Market Risk CHRISTIAN SZYLAR WILEY Contents FOREWORD ACKNOWLEDGMENTS ABOUT THE AUTHOR INTRODUCTION XV XVII XIX XXI 1 INTRODUCTION TO FINANCIAL MARKETS t 1.1 The Money Market 4 1.2 The Capital
More informationREPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS
REPORTING PACKAGE FOR SS&C ADVENT SOFTWARE CLIENTS Contents Contents... 1 I. SS&C Advent Integration... 5 1. Paragon Menu... 5 2. APX Paragon Menu... 6 3. Risk Calculation Thresholds... 7 4. Risk Metrics
More informationLinking Stress Testing and Portfolio Credit Risk. Nihil Patel, Senior Director
Linking Stress Testing and Portfolio Credit Risk Nihil Patel, Senior Director October 2013 Agenda 1. Stress testing and portfolio credit risk are related 2. Estimating portfolio loss distribution under
More informationOracle 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...
More informationINTEREST RATES AND FX MODELS
INTEREST RATES AND FX MODELS 7. Risk Management Andrew Lesniewski Courant Institute of Mathematical Sciences New York University New York March 8, 2012 2 Interest Rates & FX Models Contents 1 Introduction
More informationQ1: Do you agree with the proposed approach for the reporting periods? If not, please state the reasons for your answer.
We welcome the initiative undertaken by ESMA to provide further guidelines on the reporting requirements as defined in the regulation 231/2013. We also support standardisation of the format of the information
More informationMarket Risk: FROM VALUE AT RISK TO STRESS TESTING. Agenda. Agenda (Cont.) Traditional Measures of Market Risk
Market Risk: FROM VALUE AT RISK TO STRESS TESTING Agenda The Notional Amount Approach Price Sensitivity Measure for Derivatives Weakness of the Greek Measure Define Value at Risk 1 Day to VaR to 10 Day
More informationUCITS Financial Derivative Instruments and Efficient Portfolio Management. November 2015
2015 UCITS Financial Derivative Instruments and Efficient Portfolio Management November 2015 3 Contents Relevant Legislation 5 Permitted FDI 5 Global Exposure 6 Commitment Approach 7 Commitment Approach-
More informationCMTA Conference Track 2 April 15 th, 2015 Recent Interest Rate Changes, Effective Duration and Effect on Your Portfolio
CMTA Conference Track 2 April 15 th, 2015 Recent Interest Rate Changes, Effective Duration and Effect on Your Portfolio Presented by: Jessica Burruss, Director, BondEdge Sales BondEdge is a leading provider
More informationField Guide to Internal Models under the Basel Committee s Fundamental review of the trading book framework
Field Guide to Internal Models under the Basel Committee s Fundamental review of the trading book framework Barry Pearce, Director, Skew Vega Limited A R T I C L E I N F O A B S T R A C T Article history:
More informationRISKMETRICS. Dr Philip Symes
1 RISKMETRICS Dr Philip Symes 1. Introduction 2 RiskMetrics is JP Morgan's risk management methodology. It was released in 1994 This was to standardise risk analysis in the industry. Scenarios are generated
More informationForm N-PORT: Highlighted Data Challenges
Form N-PORT: Highlighted Data Challenges The Impact of Form N-PORT s Data Requirements on Asset Managers Introduction Form N-PORT will require all Registered Investment Companies (RICs) and exchanged traded
More informationSEC PROPOSES NEW REPORTING REQUIREMENTS FOR REGISTERED FUNDS
June 2015 Practice Group: Investment Management, Hedge Funds and Alternative Investments SEC PROPOSES NEW REPORTING REQUIREMENTS FOR By Fatima S. Sulaiman, Kelly C. Chapman, Steven B. Levine and Frank
More informationRecent developments in. Portfolio Modelling
Recent developments in Portfolio Modelling Presentation RiskLab Madrid Agenda What is Portfolio Risk Tracker? Original Features Transparency Data Technical Specification 2 What is Portfolio Risk Tracker?
More informationSolvency II and Mandatum Life. Sampo Group, Capital Markets Day 11 September 2015
Solvency II and Mandatum Life Sampo Group, Capital Markets Day 11 September 2015 Solvency II in a Nutshell New EU-level solvency framework In force 1 January 2016 Risks are measured in a market consistent
More informationEconomic Scenario Generator: Applications in Enterprise Risk Management. Ping Sun Executive Director, Financial Engineering Numerix LLC
Economic Scenario Generator: Applications in Enterprise Risk Management Ping Sun Executive Director, Financial Engineering Numerix LLC Numerix makes no representation or warranties in relation to information
More informationDraft 2.0 of the Template for Solvency 2 reporting
Draft 2.0 of the Template for Solvency 2 reporting Introduction The Solvency II Directive defines among other things solvency capital requirements (SCR) for insurance companies to be applied across all
More informationThe monitoring & delegation of the risk management function under AIFMD Yves de Naurois
The monitoring & delegation of the risk management function under AIFMD Yves de Naurois The 4 th Annual Malta Fund Conference AIFMD one year after Malta, 19 th September 2014 Content Is AIFMD really bringing
More informationRisk Management and Financial Institutions
Risk Management and Financial Institutions Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia and Asia,
More informationConflicts in ALM across different capital regimes
19 April 2011 Conflicts in ALM across different capital regimes Robert Waugh Managing Director, Standard Chartered April 2011 Disclaimer This communication is issued by Standard Chartered Bank ( Standard
More informationFinancial Risk Management
Financial Risk Management Professor: Thierry Roncalli Evry University Assistant: Enareta Kurtbegu Evry University Tutorial exercices #3 1 Maximum likelihood of the exponential distribution 1. We assume
More informationInvestment Performance, Analytics, and Risk Glossary of Terms
Investment Performance, Analytics, and Risk Glossary of Terms Investment Performance 4 Ex-Post Risk 12 Ex-Ante Risk 18 Equity Analytics 23 Fixed Income Analytics 26 3 ACCUMULATED BENEFIT OBLIGATION (ABO)
More informationInstructions for EBA data collection exercise on CVA
16 May 2014 Instructions for EBA data collection exercise on CVA Contents 1. Introduction 4 CVA Report CRR Article 456(2) 4 Review and RTS on the application of CVA charges to non-financial counterparties
More informationPractical application of Liquidity Premium to the valuation of insurance liabilities and determination of capital requirements
28 April 2011 Practical application of Liquidity Premium to the valuation of insurance liabilities and determination of capital requirements 1. Introduction CRO Forum Position on Liquidity Premium The
More informationRisk Management anil Financial Institullons^
Risk Management anil Financial Institullons^ Third Edition JOHN C. HULL WILEY John Wiley & Sons, Inc. Contents Preface ' xix CHAPTBM Introduction! 1 1.1 Risk vs. Return for Investors, 2 1.2 The Efficient
More informationLearning takes you the extra mile. Rabobank Global Learning
Learning takes you the extra mile Rabobank Global Learning Release 38: 2016 FINANCIAL MARKETS COURSES Introduction to Financial Markets Financial Markets - An Introduction Money Markets - An Introduction
More informationORSA: Prospective Solvency Assessment and Capital Projection Modelling
FEBRUARY 2013 ENTERPRISE RISK SOLUTIONS B&H RESEARCH ESG FEBRUARY 2013 DOCUMENTATION PACK Craig Turnbull FIA Andy Frepp FFA Moody's Analytics Research Contact Us Americas +1.212.553.1658 clientservices@moodys.com
More informationMarket Risk Management Framework. July 28, 2012
Market Risk Management Framework July 28, 2012 Views or opinions in this presentation are solely those of the presenter and do not necessarily represent those of ICICI Bank Limited 2 Introduction Agenda
More informationAdvanced Concepts in Capturing Market Risk: A Supervisory Perspective
Advanced Concepts in Capturing Market Risk: A Supervisory Perspective Rodanthy Tzani Federal Reserve Bank of NY The views expressed in this presentation are strictly those of the presenter and do not necessarily
More informationInvestment Management. ESMA issues final guidelines on AIFMD reporting Time to prepare
Investment Management ESMA issues final guidelines on AIFMD reporting Time to prepare Contents 3 Introduction 4 Reporting cycles 6 ESMA opinion and key considerations 9 Next steps 10 Contacts Title of
More informationCVA Capital Charges: A comparative analysis. November SOLUM FINANCIAL financial.com
CVA Capital Charges: A comparative analysis November 2012 SOLUM FINANCIAL www.solum financial.com Introduction The aftermath of the global financial crisis has led to much stricter regulation and capital
More informationORE Applied: Dynamic Initial Margin and MVA
ORE Applied: Dynamic Initial Margin and MVA Roland Lichters QuantLib User Meeting at IKB, Düsseldorf 8 December 2016 Agenda Open Source Risk Engine Dynamic Initial Margin and Margin Value Adjustment Conclusion
More informationModelling Counterparty Exposure and CVA An Integrated Approach
Swissquote Conference Lausanne Modelling Counterparty Exposure and CVA An Integrated Approach Giovanni Cesari October 2010 1 Basic Concepts CVA Computation Underlying Models Modelling Framework: AMC CVA:
More informationMORNING SESSION. Date: Thursday, November 1, 2018 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES
Quantitative Finance and Investment Advanced Exam Exam QFIADV MORNING SESSION Date: Thursday, November 1, 2018 Time: 8:30 a.m. 11:45 a.m. INSTRUCTIONS TO CANDIDATES General Instructions 1. This examination
More informationBarraOne Report Tool (BRT)
BarraOne Report Tool (BRT) Asset Managers Sample Report Pack This document is an extract from the BRT Sample Report Pack for Asset Managers v 1.0.1 Fixed Income: Manager Report Analysis Date: Report Date:
More informationChristos Patsalides President Cyprus Association of Actuaries
Christos Patsalides President Cyprus Association of Actuaries 1 Counter Party (Default) Risk Reinsurance Intermediaries Banks (cash at bank current ac/s only) Other Operational Risk Systems Risks Processes
More informationBasel Committee on Banking Supervision. Instructions: Impact study on the proposed frameworks for market risk and CVA risk
Basel Committee on Banking Supervision Instructions: Impact study on the proposed frameworks for market risk and CVA risk July 2015 This publication is available on the BIS website (www.bis.org). Bank
More informationIEOR E4602: Quantitative Risk Management
IEOR E4602: Quantitative Risk Management Basic Concepts and Techniques of Risk Management Martin Haugh Department of Industrial Engineering and Operations Research Columbia University Email: martin.b.haugh@gmail.com
More informationOfficial Journal of the European Union L 83/71
22.3.2013 Official Journal of the European Union L 83/71 ANNEX IV Reporting Templates: AIFM (Articles 3(3)(d) and 24 of Directive 2011/61/EU) AIFM-specific information to be reported (Articles 3(3)(d)
More informationMethodology 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
More informationCVA. What Does it Achieve?
CVA What Does it Achieve? Jon Gregory (jon@oftraining.com) page 1 Motivation for using CVA The uncertainty of CVA Credit curve mapping Challenging in hedging CVA The impact of Basel III rules page 2 Motivation
More informationCAPITAL MANAGEMENT - FOURTH QUARTER 2009
CAPITAL MANAGEMENT - FOURTH QUARTER 2009 CAPITAL MANAGEMENT The purpose of the Bank s capital management practice is to ensure that the Bank has sufficient capital at all times to cover the risks associated
More informationEconomic Capital. Implementing an Internal Model for. Economic Capital ACTUARIAL SERVICES
Economic Capital Implementing an Internal Model for Economic Capital ACTUARIAL SERVICES ABOUT THIS DOCUMENT THIS IS A WHITE PAPER This document belongs to the white paper series authored by Numerica. It
More informationOptimal Stochastic Recovery for Base Correlation
Optimal Stochastic Recovery for Base Correlation Salah AMRAOUI - Sebastien HITIER BNP PARIBAS June-2008 Abstract On the back of monoline protection unwind and positive gamma hunting, spreads of the senior
More informationHow a Standard Formula Firm can use an Economic Capital Model for Strategic Investment Decisions
How a Standard Formula Firm can use an Economic Capital Model for Strategic Investment Decisions Nigel Hooker, Conning Alex Tazov, Conning 9 June 2017 www.conning.com 2017 Conning, Inc. Table of Content
More informationCALCURIX: a tailor-made RM software
CALCURIX: a tailor-made RM software Ismael Fadiga & Jang Schiltz (LSF) March 15th, 2017 Ismael Fadiga & Jang Schiltz (LSF) CALCURIX: a tailor-made RM software March 15th, 2017 1 / 36 Financial technologies
More informationICS Consultation Document - Responses to Comments on Asset Concentration & Credit Risks (Sections )
Public ICS Consultation Document - Responses to Comments on Asset Concentration & Credit Risks (Sections 9.2.4-5) 9 March 2016 1 About this slide deck 1. This is the next tranche of resolutions of ICS
More informationFundamentals of Futures and Options Markets
GLOBAL EDITION Fundamentals of Futures and Markets EIGHTH EDITION John C. Hull Editor in Chief: Donna Battista Acquisitions Editor: Katie Rowland Editorial Project Manager: Emily Biberger Editorial Assistant:
More informationMarket risk measurement in practice
Lecture notes on risk management, public policy, and the financial system Allan M. Malz Columbia University 2018 Allan M. Malz Last updated: October 23, 2018 2/32 Outline Nonlinearity in market risk Market
More informationCalculating VaR. There are several approaches for calculating the Value at Risk figure. The most popular are the
VaR Pro and Contra Pro: Easy to calculate and to understand. It is a common language of communication within the organizations as well as outside (e.g. regulators, auditors, shareholders). It is not really
More informationUBS AG, Mumbai Branch (Scheduled Commercial Bank) (Incorporated in Switzerland with limited liability)
Contents 1. Background 2. Scope of Application 3. Capital Structure 4. Capital Adequacy- Capital requirement for credit, market and operational risks 5. Risk Management and Control Framework Overview 6.
More informationDraft 2.0 of the Template for Solvency 2 reporting
Draft 2.0 of the Template for Solvency 2 reporting Introduction The Solvency II Directive defines among other things solvency capital requirements (SCR) for insurance companies to be applied across all
More informationFundamental Review of the Trading Book
Fundamental Review of the Trading Book MODEL ELIGBILITY, IMA & STANDARD RULES Tobias Sander 19 20 April 2016, London, CEFPRO d-fine d-fine All rights All rights reserved reserved 0 Agenda» Overview FRTB»
More informationRISKDATA LIQUIDITY RISK
RISKDATA LIQUIDITY RISK September 2015 Contents 1. Overview 3 2. Liquidity profile 4 2.1. Selling speed constraint 4 2.2. Maximum liquidation cost constraint 5 3. Stress tests 6 4. Interfaces 6 5. Methodology
More informationIntroduction to WealthBench:
Introduction to WealthBench: The Premier Wealth Management Platform March, 2009 Copyright 2009 by RiskMetrics Group. All rights reserved. No part of this publication may be reproduced or transmitted in
More informationIOSCO Annual Conference: Panel 1
IOSCO Annual Conference: Panel 1 Barbara Novick, Vice Chairman 17 May 2017 The opinions expressed are as of May 2017 and may change as subsequent conditions vary. FOR POLICY MAKER USE ONLY 20170510-157057-432168
More informationChapter 1 Derivate Reporting. Chapter 2 Global Exposure
Regulation of the Financial Market Authority (FMA) on Risk Measurement and Reporting of Derivates (4. Derivate-Risikoberechnungs- und Meldeverordnung [4 th Derivatives Risk Measurement and Reporting Regulation])
More informationTrading Options In An IRA Without Blowing Up The Account
Trading Options In An IRA Without Blowing Up The Account terry@terrywalters.com July 12, 2018 Version 2 The Disclaimer I am not a broker/dealer, CFP, RIA or a licensed advisor of any kind. I cannot give
More informationBasel Committee on Banking Supervision. Basel III counterparty credit risk - Frequently asked questions
Basel Committee on Banking Supervision Basel III counterparty credit risk - Frequently asked questions November 2011 Copies of publications are available from: Bank for International Settlements Communications
More informationStandardised Risk under Basel 3. Pardha Viswanadha, Product Management Calypso
Standardised Risk under Basel 3 Pardha Viswanadha, Product Management Calypso Flow Regulatory risk landscape Trading book risk drivers Overview of SA-MR Issues & Challenges Overview of SA-CCR Issues &
More informationRelated topic Subtopic No. Para. Your question Answer
25 June 2014 Related topic Subtopic No. Para. Your question Answer Valuation V.2.5. Risk margin TP5.4 Under the risk margin transfer scenario there is an assumption that the receiving entity invests its
More informations Solvency Capital Requirement for undertakings on Standard Formula
s.25.01 Requirement for undertakings on Standard Formula This section relates to opening and annual submission of information for individual entities, ring fenced funds, matching adjustment portfolios
More informationINVESTMENT SERVICES RULES FOR RETAIL COLLECTIVE INVESTMENT SCHEMES
INVESTMENT SERVICES RULES FOR RETAIL COLLECTIVE INVESTMENT SCHEMES PART B: STANDARD LICENCE CONDITIONS Appendix VI Supplementary Licence Conditions on Risk Management, Counterparty Risk Exposure and Issuer
More informationApplications of Dataflow Computing to Finance. Florian Widmann
Applications of Dataflow Computing to Finance Florian Widmann Overview 1. Requirement Shifts in the Financial World 2. Case 1: Real Time Margin 3. Case 2: FX Option Monitor 4. Conclusions Market Context
More informationIntegrating Economic Capital, Regulatory Capital and Regulatory Stress Testing in Decision Making
Complimentary Webinar: Integrating Economic Capital, Regulatory Capital and Regulatory Stress Testing in Decision Making Amnon Levy, Managing Director, Head of Portfolio Research Co-Sponsored by: Originally
More informationQuestions and Answers Application of the AIFMD
Questions and Answers Application of the AIFMD 5 October 2017 ESMA34-32-352 Date: 5 October 2017 ESMA34-32-352 Contents Section I: Remuneration...5 Section II: Notifications of AIFs...9 Section III: Reporting
More informationVanguard Global Capital Markets Model
Vanguard Global Capital Markets Model Research brief March 1 Vanguard s Global Capital Markets Model TM (VCMM) is a proprietary financial simulation engine designed to help our clients make effective asset
More informationIntroduction to Solvency II SCR Standard Formula for Market Risk. Erik Thoren 11 June 2015
Introduction to Solvency II SCR Standard Formula for Market Risk Erik Thoren 11 June 2015 Agenda Introduction to Solvency II Market risk module Asset allocation considerations Page 2 Introduction to Solvency
More informationASSET-LIABILITY MANAGEMENT AND STRESS TESTING - GUIDELINES ON ASSET LIABILITY MANAGEMENT REPORTING
ASSET-LIABILITY MANAGEMENT AND STRESS TESTING - GUIDELINES ON ASSET LIABILITY MANAGEMENT REPORTING CIRCULAR NO: IRDA/ACTL/CIR/ALM/006/01/2012, DATED 3-1-2012 1. Asset-liability management (ALM) is the
More information2018 Mid-Cycle Dodd-Frank Act Company-Run Stress Test (DFAST) Filed with Board of Governors of the Federal Reserve System
2018 Mid-Cycle Dodd-Frank Act Company-Run Stress Test (DFAST) Filed with Board of Governors of the Federal Reserve System October, 2018 Cautionary statement This 2018 Mid-cycle Dodd Frank Act Stress Test
More information6,606,978, % 6,606,978, % 6,606,978, % % NAV % (4) Equity Derivatives Warrants, Rights & Subscriptions
Pershing Square Holdings, Ltd. (the "Company") ** - Includes C Stratum Investor Reporting as of 31-Jan-2015 Confirmations & Qualifications Stratum Ref No : F000001258:31JAN2015:10 Morgan Stanley Fund Services
More informationApril 2014 Summary of technical specifications for QIS 1. Singapore RBC 2 Review
April 2014 Summary of technical specifications for QIS 1 Singapore RBC 2 Review 1 Introduction The Monetary Authority of Singapore (MAS) recently issued a second consultation paper on the review of the
More informationBBVA COMPASS BANCSHARES, INC. MARKET RISK DISCLOSURES
BBVA COMPASS BANCSHARES, INC. MARKET RISK DISCLOSURES For the quarter ended March 31, 2018 Contents 1. Overview... 3 2. Risk Governance... 4 3. Risk-based Capital Guidelines: Market Risk... 5 3.1 Covered
More informationStrategies For Managing CVA Exposures
Strategies For Managing CVA Exposures Sebastien BOUCARD Global Head of CVA Trading www.ca-cib.com Contact Details Sebastien.boucard@ca-cib.com IMPORTANT NOTICE 2013 CRÉDIT AGRICOLE CORPORATE AND INVESTMENT
More informationA newsletter for fund directors. U.S. Fund Directors Insight
A newsletter for fund directors U.S. Fund Directors Insight Volume 4, Number 1 April 2018 A newsletter for fund directors U.S. Fund Directors Insight Volume 4, Number 1 April 2018 Table of contents 3 4
More informationICAAP Q Saxo Bank A/S Saxo Bank Group
ICAAP Q2 2014 Saxo Bank A/S Saxo Bank Group Contents 1. INTRODUCTION... 3 NEW CAPITAL REGULATION IN 2014... 3 INTERNAL CAPITAL ADEQUACY ASSESSMENT PROCESS (ICAAP)... 4 BUSINESS ACTIVITIES... 4 CAPITAL
More informationCalibration of the standard formula spread risk module Note to the Commission for insertion in the draft QIS5 Technical Specifications
CEIOPS-SEC-52/10 9 April 2010 Calibration of the standard formula spread risk module Note to the Commission for insertion in the draft QIS5 Technical Specifications Purpose and content of this note The
More informationFederal Home Loan Bank of San Francisco
Federal Home Loan Bank of San Francisco Results of the Federal Housing Finance Agency Supervisory Severely Adverse Scenario November 16, 2017 As required by the Dodd-Frank Wall Street Reform and Consumer
More informationProxy Techniques for Estimating Variable Annuity Greeks. Presenter(s): Aubrey Clayton, Aaron Guimaraes
Sponsored by and Proxy Techniques for Estimating Variable Annuity Greeks Presenter(s): Aubrey Clayton, Aaron Guimaraes Proxy Techniques for Estimating Variable Annuity Greeks Aubrey Clayton, Moody s Analytics
More informationThe Branch does not have any interest in insurance entities.
Basel II Pillar 3 disclosures Background The disclosures and analysis provided herein below are in respect of the Mumbai branch ( the Bank ) of Credit Suisse AG which is incorporated in Switzerland with
More informationU.S. Private Label and European Residential Mortgage-Backed Securities
U.S. Private Label and European Residential Mortgage-Backed Securities Evaluation Methodology Interactive Data offers daily evaluations and related data for U.S. Private Label and European residential
More informationOracle Financial Services Liquidity Risk Management
Oracle Financial Services Liquidity Risk Management Analytics User Guide Oracle Financial Services Liquidity Risk Management Analytics User Guide, Copyright 2018, Oracle and/or its affiliates. All rights
More informationAdvanced Interest Rate Derivatives This course can also be presented in-house for your company or via live on-line webinar
Advanced Interest Rate Derivatives This course can also be presented in-house for your company or via live on-line webinar The Banking and Corporate Finance Training Specialist Course Objectives The broad
More informationOptimizing equity investment under Solvency 2. Vienna, September 13 th 2016
Optimizing equity investment under Solvency 2 Vienna, September 13 th 2016 Agenda 1. Equities are attractive but expensive under Solvency 2 2. Optimized equity solutions, a strong tool for allocation 3.
More informationUBS AG, Mumbai Branch (Scheduled Commercial Bank) (Incorporated in Switzerland with limited liability)
Basel II Pillar 3 Disclosures for the period ended 31 March 2010 Contents 1. Background 2. Scope of Application 3. Capital Structure 4. Capital Adequacy- Capital requirement for credit, market and operational
More informationFinal report. Guidelines on reporting obligations under Articles 3(3)(d) and 24(1), (2) and (4) of the AIFMD ESMA/2013/1339 (revised)
Final report Guidelines on reporting obligations under Articles 3(3)(d) and 24(1), (2) and (4) of the AIFMD 15.11.2013 ESMA/2013/1339 (revised) Date: 15 November 2013 ESMA/2013/1339 Table of Contents I.
More informationSolutions to Further Problems. Risk Management and Financial Institutions
Solutions to Further Problems Risk Management and Financial Institutions Third Edition John C. Hull 1 Preface This manual contains answers to all the Further Questions at the ends of the chapters. A separate
More informationBook value (supervisory scope)
1.2. BANKING GROUP - MARKET RISKS As already highlighted in the introduction, the Intesa Sanpaolo Group policies relating to financial risk acceptance are defined by the Parent Company s Management Bodies,
More informationMeasuring Portfolio Risk
Measuring Portfolio Risk The first step to hedging is measuring risk then we can do something about it What do I mean by portfolio risk? There are a lot or risk measures used in the financial lexicon.
More information12 April 2018 Kurt Svoboda, CFRO. UNIQA Insurance Group AG Economic Capital and Embedded Value 2017
12 April 2018 Kurt Svoboda, CFRO UNIQA Insurance Group AG Economic Capital and Embedded Value 2017 Executive Summary Economic Capital position remains extraordinary strong Economic Capital Ratio (ECR-ratio)
More informationStatPro Revolution - Analysis Overview
StatPro Revolution - Analysis Overview DEFINING FEATURES StatPro Revolution is the Sophisticated analysis culmination of the breadth and An intuitive and visual user interface depth of StatPro s expertise
More informationCurve fitting for calculating SCR under Solvency II
Curve fitting for calculating SCR under Solvency II Practical insights and best practices from leading European Insurers Leading up to the go live date for Solvency II, insurers in Europe are in search
More information