TODAY_Présentation1 16 05 16

TODAY_Présentation1 16 05 16 - BNF 2O4 RISK MANAGEMENT...

Info icon This preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon
MANAGEMENT OF RISKS FACED BY INSTITUTIONS School of Business - CUIB Buea, 16th May 2016 Ulrich D’POLA KAMDEM ( @dpolovich ) BNF 2O4 RISK MANAGEMENT
Image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
CREDIT RISK CALCULATION The Value at Risk measures the potential loss in value of a risky asset or portfolio over a defined period for a given confidence interval. VaR is also the maximum loss over a target horizon within a confidence interval (or under normal market conditions) . In other words, when you calculate the VaR, you indirectly answer the following question: If none of the “extreme events” (i.e., low-probability events) occurs, what is my maximum loss over a given time period?
Image of page 2
CONTD’ The VaR of a portfolio is made of three major pillars: The distribution of the return of the portfolio The distribution of the return is supposed to be normal. The level of confidence In general, we have two level of confidence: 95% and 99%. The target horizon If you want to have the losses for one N days, you just need to multiply the losses for ONE day by .
Image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
The Parametric or Analytical Approach; or The Delta-Normal Method FOR ONE DAY :
Image of page 4
Image of page 5
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern