tailieunhanh - Lecture Financial derivatives - Lecture: Value-at-risk

The contents of this chapter include all of the following: Introduction, what is value-at-risk, methods of calculating value-at-risk, critique of value-at-risk, worst case scenario analysis, a value-at-risk exercise. | Value-At-Risk By Stephen Lynagh Value-At-Risk 1 Introduction What is Value-at-Risk Methods of Calculating VAR Critique of VAR Worst Case Scenario Analysis A VAR Exercise Outline Value-At-Risk 2 Risk management attempts to provide financial predictability for a company. Every day firms face financial risks. Interest and exchange rate volatility, default on loans, and changes in credit rating are some examples. These risks can be sorted into two categories – credit risk and market risk. 1) Credit risk: includes all risks associated with the credit of specific participants, such as potential default or changes in credit rating. Introduction Value-At-Risk 3 2) Market risk: refers to risks affecting broad sectors of the economy, such as an increase in interest rates, currency devaluation, or a decline in commodities prices, like aluminum or oil. Financial analysts use a number of innovations to calculate and hedge against these kinds of risk. One innovation that has been receiving immense attention is value-at-risk. Introduction (Cont.) Value-At-Risk 4 What is Value-at-risk? Value-at-risk (VAR) is a probabilistic measure of the range of values a firm’s portfolio could lose due to market volatility. This volatility includes effects from changes in interest rates, exchange rates, commodities prices, and other general market risks. In simple words, VAR is a statement of probable loss. Afshin Mufti Value-At-Risk 5 Methods of calculating VAR VAR can be calculated in many different ways. As a result, firms using different calculating methods can arrive at different value-at-risk numbers for the same portfolio. There are advantages and disadvantages in each method of calculating VAR and no one way is best. So, when describing VAR, it is important to bear in mind the method of computation and the statistical significance of the result. Regardless of the method of computation, VAR is a comprehensive measurement for an entire firm. Value-At-Risk 6 Methods of calculating VAR . | Value-At-Risk By Stephen Lynagh Value-At-Risk 1 Introduction What is Value-at-Risk Methods of Calculating VAR Critique of VAR Worst Case Scenario Analysis A VAR Exercise Outline Value-At-Risk 2 Risk management attempts to provide financial predictability for a company. Every day firms face financial risks. Interest and exchange rate volatility, default on loans, and changes in credit rating are some examples. These risks can be sorted into two categories – credit risk and market risk. 1) Credit risk: includes all risks associated with the credit of specific participants, such as potential default or changes in credit rating. Introduction Value-At-Risk 3 2) Market risk: refers to risks affecting broad sectors of the economy, such as an increase in interest rates, currency devaluation, or a decline in commodities prices, like aluminum or oil. Financial analysts use a number of innovations to calculate and hedge against these kinds of risk. One innovation that has been receiving .

• Tài chính doanh nghiệp
• Learning management system
• Financial derivatives
• Lecture Financial derivatives
• Value at risk
• Market risk
• Worst case scenario analysis
• Computer based learning
• Collaborative learning
• Instructor led learning
• Learning management systems
• Management skills
• Lecture Learning management systems
• Management system
• Process and organizational resources
• Learning management careers
• Moodle in Brief
• E learning standards support
• Global management skill
• Social responsibility
• Federal legislation
• Strategic planning skill
• Fundamentals of organizing
• Dividing job activities
• Clarifying job activities of managers
• Job descriptions
• Emotional intelligence
• Encouraging organizational communication
• Eviews software
• Registering EViews
• Setting questions
• Slate login page