BMGT 445 lecture 5

BMGT 445 lecture 5 - BMGT445 ProfessorEthanCohenCole

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Click to edit Master subtitle style 3/1/11 BMGT 445 Professor Ethan Cohen-Cole Lecture 5
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3/1/11 Key concepts Market Risk Dollar exposure RiskMetrics Historic or back simulation Monte Carlo simulation Links between market risk and capital requirements
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3/1/11 Market Risk Measurement Risk Metrics Simulation Market Risk and Capital Some notable losses: 1995 Barings Bank 1996 Sumitomo Corp. lost $2.6 billion in
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3/1/11 Market Risk Measurement Risk Metrics Simulation Market Risk and Capital Definition: Market risk is the uncertainty resulting from changes in market prices .
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3/1/11 Market Risk Measurement Risk Metrics Simulation Market Risk and Capital All assets have market risk Stocks Bonds (including treasuries) Mortgages
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3/1/11 Market Risk Measurement Risk Metrics Simulation Market Risk and Capital Important in terms of: Management information Setting limits Resource allocation (risk/return tradeoff)
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Market Risk Measurement Risk Metrics Simulation Market Risk RiskMetrics
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This note was uploaded on 02/28/2011 for the course BMGT 445 taught by Professor Malmquist during the Spring '09 term at Maryland.

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BMGT 445 lecture 5 - BMGT445 ProfessorEthanCohenCole

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