描述场景时重要的是 要考虑相关的不确定� 来源 VaR is a statistical technique used to measure and

描述场景时重要的是

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描述场景时,重要的是 要考虑相关的不确定性 来源。 VaR is a statistical technique used to measure and quantify the level of market traded financial asset risk within a firm or investment portfolio over a specific time frame. VaR 是一种 计技术,用于 量和量 公司或 资组合在 时间范围内的 交易金融 资产风险水平。 The VaR is the minimum expected value for a given statistical confidence (typically 90%, 95%, 99%). VaR 是 给 定 的 ( 通 常 为
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Value at Risk VaR answers the question: for a given likelihood how large could the negative consequence be (ie. How low can the asset value fall or the liability value rise)? VaR 回答了这个 问题 :对于给定的可能性, 面结 果可能有多 资产 价值 下降 负债 价值 A VaR statistic has three components: a time period (eg. 1 day or 20 days), a confidence level and a loss amount. VaR 计信息包 三个部分:时间段( 1 20 ), 损失 额。 VaR is only used for objectives with financial consequences resulting from revaluation (profit and/or solvency), requires knowledge of the statistical properties of the drivers, and data to support calibration of the forecasts. VaR 用于因重估 (利 / 偿付 能力) 而导 财务 后果的目标,需要了解 动程 性以及支持预测 准的数据。 Cash Flow at Risk (CFaR) defined (refer COSO) Cash Flow at Risk is a quantitative risk measure built on a causal model where specific risk factors drive future uncertainty of key financial cash flow or earnings objectives. 风险现 金流 量是一种基于因果 型的定量风险 量,其 中特 定的风险因 素驱 键财务 金流 量或收益目标的 来不确定性。 Each risk factor is modelled in detail and incorporated into an overall model of the firm’s cash flows or earnings. 个风 险因 素都 进行了 详细 ,并 入了公司现 金流 量或收益的整 体模 型。 Unlike simple budgeting or extrapolating past experiences, CFaR gives insight into the potential variability of future cash flows and earnings. 与简 的预 制或 推断 经验 不同, CFaR 可以 洞悉 来现 金流 量和收益的 在可 性。 CFaR answers the question: For a given likelihood how large could the negative consequence be (ie. How low can cash flow and earnings fall?) CFaR 回答了这个 问题 :对于给定的可能性, 后果可能有多 金流 量和收益会 下降 到多 低? A CFaR statistic has three components: a time period (usually one or more multiple years), a confidence level and a loss amount. CFaR 计信息包 三个部分:一个时间段(通常为一 ), 损失 额。 Illustrative example of CFaR Consider you are an importer of US manufactured golf clubs. 考虑 美国 高尔 球杆 的进 商。 You have 2 sources of uncertainty: 2 个不确定性来源: Unknown future levels of sales. 来的 销售 水平 未知 Unknown future exchange rate to buy an agreed amount of goods in USD. 购买 商定 额的 美元 未知未 The financial objectives are: 财务 目标是: Less than 25% probability of making a loss in any year (once every 4 years). 任何 4 亏损 的可能性 25 Current equity of AUD11m is sufficient to absorb maximum losses with 95% confidence (insolvency expected once in every 20 years). 1100 澳元 的现有 股本 以以 95 承担 损失 (预计 20 年破 产一 )。 Illustration: Budgeted position and break-even scenarios Assume your firm has the following financial position, Columns (b) and (c) show stressed inputs that result in zero profit. 假设您 的公司的 财务状况 ,( b )和( c 显示 的压力输入。 Notes: a. Planned profit
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