Market Risk Control. Andrew Threadgold, Group Head of Market Risk
|
|
- Winifred Waters
- 7 years ago
- Views:
Transcription
1 Market Risk Control Andrew Threadgold, Group Head of Market Risk June 4, 2007
2 Key messages Strong risk management and control culture Comprehensive framework of market risk controls Highly qualified risk control staff Not easy to compare risk measures across firms 1
3 Philosophy of Market Risk Control A sound foundation: Risk Identification Risk Measurement Risk / Return Asymmetries Concentrations Tails 2
4 Market Risk measurement and limits Comprehensive framework of market risk controls Portfolio measures Concentration measures Risk factor Operational limits Stress Issuer risk 3
5 Portfolio risk measures and Stress Portfolio measures Stress Note: these are both net risk measures 4
6 Value at Risk: Internal & regulatory measure What is? Statistical estimate of the worst expected loss over a given horizon at a given confidence level Frequency 1% P&L Internal External Regulatory 5
7 Value at Risk at UBS Historical simulation Positions full risk slides Historical simulation 5-yr historical price series -over 9000 series of prices and volatilities - 5 yrs historical daily data - 10 day horizon - 99% confidence level 6
8 Value at Risk at UBS Idiosyncratic components Equity idiosyncratic risk Deal break Potential Stress rating migration Historical simulation + Idiosyncratic components = 7
9 UBS disclosure 8
10 Value at Risk - A long term view Jul-98 1-Oct-98 1-Jan-99 3-Apr-99 4-Jul-99 4-Oct-99 4-Jan-00 5-Apr-00 6-Jul-00 6-Oct-00 6-Jan-01 8-Apr-01 9-Jul-01 9-Oct-01 9-Jan Apr Jul Oct-02 (CHF m) 12-Jan Apr Jul Oct Jan Apr Jul Oct Jan Apr Jul Oct Jan Apr Jul Oct Jan day 99% confidence
11 Value at Risk Comparability of numbers 10
12 Value at Risk Investment Bank: revenue distribution 2006 Frequency in number of days < to to to to to 0 0 to to to to to to to to to 180 >180 Revenues in CHF million Backtesting revenues 1 Full revenues 2 Source: management accounts 1 Backtesting revenues exclude non-trading revenues, such as commissions and fees, and revenue from intra-day trading 2 Full revenues include all revenues from business areas which have trading activities 11
13 Value at Risk UBS history This graph shows the 1-day 99%, and the comparable backtesting revenues over 1 year to 30 th March
14 summary Robust process based on 5 years of history Add-ons make it conservative in a statistical sense Difficult to compare even with alternative calculations Backtesting revenues are disclosed 13
15 Stress Multiple scenarios; evaluated daily Stress calculation A Stress Positions B Potential loss A Potential loss B C Potential loss C Maximum potential loss Stress exposure
16 Stress testing framework Types of stress test Stress For LIMITS For INFORMATION Stress CORPORATE level Standard scenarios Additional standard scenarios BUSINESS level Specialised scenarios Ad-hoc scenarios 15
17 Concentration measures Risk factor limits and issuer risk controls Concentration measures Risk factor Issuer risk 16
18 Risk factor limits Focus on managing and controlling concentration Risk factor Risk factor limits Limits applied at the level of the individual market variable or group of correlated variables, e.g. US equity market level Oil price Exchange rates UK interest rates Credit spreads 17
19 Issuer risk Focus on managing and controlling concentration Issuer risk Issuer risk controls Controls applied to the potential loss from an event affecting a single issuing entity Entities Families Industries Countries 18
20 Market Risk measurement and limits Operational limits - many targeted limits Operational limits -based Stress-based Fundamental units Examples: volumes, market values, notionals, greeks, sensitivities, Risk factor Issuer risk 19
21 Summary Portfolio measures Concentration measures Risk factor Statistical measure: 99% confidence 10 day holding period 5 years historical data Scenario based measure Standard Ad hoc Operational limits Many targeted limits Providing the glue Individual interest rates, exchange rates, equity markets, commodity prices Credit spreads Individual issuers of debt and equity securities Stress Issuer risk 20
22 Questions 21
Risk Based Capital Guidelines; Market Risk. The Bank of New York Mellon Corporation Market Risk Disclosures. As of June 30, 2014
Risk Based Capital Guidelines; Market Risk The Bank of New York Mellon Corporation Market Risk Disclosures As of June 30, 2014 1 Basel II.5 Market Risk Quarterly Disclosure Introduction Since January 1,
More informationCITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013
CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 DATED AS OF MAY 15, 2013 Table of Contents Qualitative Disclosures Basis of Preparation and Review... 3 Risk
More informationMarket Risk Capital Disclosures Report. For the Quarter Ended March 31, 2013
MARKET RISK CAPITAL DISCLOSURES REPORT For the quarter ended March 31, 2013 Table of Contents Section Page 1 Morgan Stanley... 1 2 Risk-based Capital Guidelines: Market Risk... 1 3 Market Risk... 1 3.1
More informationValidating Market Risk Models: A Practical Approach
Validating Market Risk Models: A Practical Approach Doug Gardner Wells Fargo November 2010 The views expressed in this presentation are those of the author and do not necessarily reflect the position of
More informationCALYPSO ENTERPRISE RISK SYSTEM
1 CALYPSO ENTERPRISE RISK SYSTEM Dr Philip Symes Introduction 2 Calypso's Enterprise Risk Service (ERS) is part of their Front-to-Back software system. Calypso ERS provides the Middle Office risk function.
More informationRisk Based Capital Guidelines; Market Risk. The Bank of New York Mellon Corporation Market Risk Disclosures. As of December 31, 2013
Risk Based Capital Guidelines; Market Risk The Bank of New York Mellon Corporation Market Risk Disclosures As of December 31, 2013 1 Basel II.5 Market Risk Annual Disclosure Introduction Since January
More informationContents. List of Figures. List of Tables. List of Examples. Preface to Volume IV
Contents List of Figures List of Tables List of Examples Foreword Preface to Volume IV xiii xvi xxi xxv xxix IV.1 Value at Risk and Other Risk Metrics 1 IV.1.1 Introduction 1 IV.1.2 An Overview of Market
More informationMarket Risk Management
Market Risk Management Hamish Treleaven, Executive General Manager, Market Risk Management 17 November 2010 The quantum of Market Risk at CBA Current Economic Capital attribution Current Market Risk Economic
More informationCONTENTS. List of Figures List of Tables. List of Abbreviations
List of Figures List of Tables Preface List of Abbreviations xiv xvi xviii xx 1 Introduction to Value at Risk (VaR) 1 1.1 Economics underlying VaR measurement 2 1.1.1 What is VaR? 4 1.1.2 Calculating VaR
More informationSEI s Approach to Asset Allocation
SEI s Approach to Asset Allocation Presented by: Jim Smigiel Managing Director and Portfolio Manager Portfolio Strategies Group What is diversification? Sharpe ratio? Peak Sharpe Ratio Loss of efficiency:
More informationJornadas Economicas del Banco de Guatemala. Managing Market Risk. Max Silberberg
Managing Market Risk Max Silberberg Defining Market Risk Market risk is exposure to an adverse change in value of financial instrument caused by movements in market variables. Market risk exposures are
More informationRisk Management for Fixed Income Portfolios
Risk Management for Fixed Income Portfolios Strategic Risk Management for Credit Suisse Private Banking & Wealth Management Products (SRM PB & WM) August 2014 1 SRM PB & WM Products Risk Management CRO
More informationRisk & Capital Management under Basel III
www.pwc.com Risk & Capital Management under Basel III London, 15 Draft Agenda Basel III changes to capital rules - Definition of capital - Minimum capital ratios - Leverage ratio - Buffer requirements
More informationCitigroup Inc. Basel II.5 Market Risk Disclosures As of and For the Period Ended March 31, 2014
Citigroup Inc. Basel II.5 Market Risk Disclosures and For the Period Ended TABLE OF CONTENTS OVERVIEW 3 Organization 3 Capital Adequacy 3 Basel II.5 Covered Positions 3 Valuation and Accounting Policies
More informationGroup-wide Stress Testing: A Case Study. Enrico Piotto
Group-wide Stress esting: A Case Study Enrico Piotto Background Severe Losses Beyond scope of risk models Reluctance to statistical models Emphasis on stress testing as risk control and risk management
More informationBank Capital Adequacy under Basel III
Bank Capital Adequacy under Basel III Objectives The overall goal of this two-day workshop is to provide participants with an understanding of how capital is regulated under Basel II and III and appreciate
More informationREGULATORY CAPITAL DISCLOSURES MARKET RISK PILLAR 3 REPORT
REGULATORY CAPITAL DISCLOSURES MARKET RISK PILLAR 3 REPORT For the quarterly period ended June 30, 2013 Table of Contents I. Executive Summary 1 Introduction 1 Basel II Overview 1 Basel 2.5 Market Risk
More informationDr Christine Brown University of Melbourne
Enhancing Risk Management and Governance in the Region s Banking System to Implement Basel II and to Meet Contemporary Risks and Challenges Arising from the Global Banking System Training Program ~ 8 12
More informationCOMPARISON OF FIXED & VARIABLE RATES (25 YEARS) CHARTERED BANK ADMINISTERED INTEREST RATES - PRIME BUSINESS*
COMPARISON OF FIXED & VARIABLE RATES (25 YEARS) 2 Fixed Rates Variable Rates FIXED RATES OF THE PAST 25 YEARS AVERAGE RESIDENTIAL MORTGAGE LENDING RATE - 5 YEAR* (Per cent) Year Jan Feb Mar Apr May Jun
More informationCOMPARISON OF FIXED & VARIABLE RATES (25 YEARS) CHARTERED BANK ADMINISTERED INTEREST RATES - PRIME BUSINESS*
COMPARISON OF FIXED & VARIABLE RATES (25 YEARS) 2 Fixed Rates Variable Rates FIXED RATES OF THE PAST 25 YEARS AVERAGE RESIDENTIAL MORTGAGE LENDING RATE - 5 YEAR* (Per cent) Year Jan Feb Mar Apr May Jun
More informationThe Ten Great Challenges of Risk Management. Carl Batlin* and Barry Schachter** March, 2000
The Ten Great Challenges of Risk Management Carl Batlin* and Barry Schachter** March, 2000 *Carl Batlin has been the head of Quantitative Research at Chase Manhattan Bank and its predecessor banks, Chemical
More informationHow To Write A Credit Risk Book
CRM validation Jérôme BRUN, Head of model validation (market risk) June 2011 Introduction and agenda 1 3 amendments on the trading book to be implemented in 2011 Incremental Risk Charge (IRC) & Comprehensive
More informationICAAP Report Q2 2015
ICAAP Report Q2 2015 Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 BOARD OF MANAGEMENT APPROVAL OF THE ICAAP Q2 2015... 3 1.3 CAPITAL CALCULATION... 3 1.1.1 Use
More informationING Insurance Economic Capital Framework
ING Insurance Economic Capital Framework Thomas C. Wilson Chief Insurance Risk Officer Kent University, September 5, 2007 www.ing.com Objectives of this session ING has been using economic capital internally
More informationOntario Securities Commission
Ontario Securities Commission OSC Staff Notice 81-727 Report on Staff s Continuous Disclosure Review of Mutual Fund Practices Relating to Portfolio Liquidity June 25, 2015 Purpose of this Notice Staff
More informationEDF CEA Inria School Systemic Risk and Quantitative Risk Management
C2 RISK DIVISION EDF CEA Inria School Systemic Risk and Quantitative Risk Management EDF CEA INRIA School Systemic Risk and Quantitative Risk Management Regulatory rules evolutions and internal models
More informationEffective Techniques for Stress Testing and Scenario Analysis
Effective Techniques for Stress Testing and Scenario Analysis Om P. Arya Federal Reserve Bank of New York November 4 th, 2008 Mumbai, India The views expressed here are not necessarily of the Federal Reserve
More informationTen key points from Basel s Fundamental Review of the Trading Book
First January 19, 2016 take A publication of PwC s financial services regulatory practice Ten key points from Basel s Fundamental Review of the Trading Book On January 14 th, the Basel Committee on Banking
More informationFundamental Review of the Trading Book: A Revised Market Risk Framework Second Consultative Document by the Basel Committee on Banking Supervision
An Insight Paper by CRISIL GR&A ANALYSIS Fundamental Review of the Trading Book: A Revised Market Risk Framework Second Consultative Document by the Basel Committee on Banking Supervision The Basel Committee
More informationBAILLIE GIFFORD. Devon County Council Pension Fund 27 February 2015. Tom Wright and Patrick Edwardson
BAILLIE GIFFORD Devon County Council Pension Fund 27 February 2015 Tom Wright and Patrick Edwardson Our Relationship Appointed: 29 th May 2012 Strategy: Diversified Growth Portfolio Value: 241,626,198
More informationRisk Visualization: Presenting Data to Facilitate Better Risk Management
Track 4: New Dimensions in Financial Risk Management Risk Visualization: Presenting Data to Facilitate Better Risk Management 1:30pm 2:20pm Presenter: Jeffrey Bohn Senior Managing Director, Head of Portfolio
More informationThe Lobo with Dresdner was taken out on 3/12/2004 for a period of 50 years. The terms were as follows,
Sector Treasury Services Introduction This paper outlines the current Lobo loan held by Worcester City Council (the Council) and considers the options that are available in terms of reducing the current
More informationCredit Research & Risk Measurement
Credit Research & RISK MEASUREMENT Credit Research & Risk Measurement Leverage the market standard in credit analysis and utilize the latest risk management technology to improve the efficiency of your
More informationFFIEC 102. Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule. Effective Date: March 31, 2015
FFIEC 102 Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule Effective Date: March 31, 2015 This draft final report form reflects the proposed FFIEC 102 discussed in
More informationLake Hill Crude Oil Market Update
Lake Hill Crude Oil Market Update Oil markets are experiencing forced hedging, unwinds and de-risking by both producers and consumers, exacerbating the recent spike in volatility. This distressed trading
More informationEvolution of GTAA Investment Styles. In This Issue: June 2012
June 2012 ALPHA GROUP TOPIC The Alpha Group researches investment managers. In This Issue: n Evolution of GTAA Investment Styles n Risk-Parity vs. GTAA Managers n Implementation n Investing in a GTAA Strategy
More informationInvest with confidence. Boosting income and preserving capital in retirement
Invest with confidence Boosting income and preserving capital in retirement Australians have an income challenge As the cost of living continues to rise and retirement nears, you need more than ever to
More informationRegulatory and Economic Capital
Regulatory and Economic Capital Measurement and Management Swati Agiwal November 18, 2011 What is Economic Capital? Capital available to the bank to absorb losses to stay solvent Probability Unexpected
More informationStress testing and capital planning - the key to making the ICAAP forward looking PRMIA Greece Chapter Meeting Athens, 25 October 2007
Stress testing and capital planning - the key to making the ICAAP forward looking Athens, *connectedthinking Agenda Introduction on ICAAP requirements What is stress testing? Regulatory guidance on stress
More information(Part.1) FOUNDATIONS OF RISK MANAGEMENT
(Part.1) FOUNDATIONS OF RISK MANAGEMENT 1 : Risk Taking: A Corporate Governance Perspective Delineating Efficient Portfolios 2: The Standard Capital Asset Pricing Model 1 : Risk : A Helicopter View 2:
More informationCorporate and Investment Banking. Standard Bank Africa Commodity Index Exchange Traded Note
Corporate and Investment Banking Standard Bank Africa Commodity Index Exchange Traded Note Introduction to Commodities as an Asset Class 2 The Standard Bank Africa Commodity Index 4 Standard Bank s Blue
More informationDiversification Between Different Risk Types ISDA - London - March 2004
Diversification Between Different Risk Types ISDA - London - March 2004 Sebastian G Fritz Credit Risk Management Agenda What are DB s peers doing? How DB does it currently? How will DB do it in future?
More informationThe Goldman Sachs Group, Inc. and Goldman Sachs Bank USA. 2015 Annual Dodd-Frank Act Stress Test Disclosure
The Goldman Sachs Group, Inc. and Goldman Sachs Bank USA 2015 Annual Dodd-Frank Act Stress Test Disclosure March 2015 2015 Annual Dodd-Frank Act Stress Test Disclosure for The Goldman Sachs Group, Inc.
More informationSolvency II Preparation and IMAP James Latto
and James Latto Contents 2 1 Balancing priorities Insurers need to balance priorities over the next year: Main focus is often on Pillar 3 and external reporting needs sufficient focus Ensure smooth transition
More informationDevelopments in Risk Attribution
Singapore 2004 Developments in Risk Attribution Investment Managers Association of Singapore September 23, 2004 Alex Carmichael Director Risk Solutions & Operations RiskMetrics Group Asia Pacific Alex.carmichael@riskmetrics.com
More informationImplementing Reveleus: A Case Study
Implementing Reveleus: A Case Study Implementing Reveleus: A Case Study Reveleus is a state of the art risk management tool that assists financial institutions in measuring and managing risks. It encompasses
More informationJ.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series
J.P. Morgan Equity Risk Premium Multi-Factor (Long Only) Index Series QUESTIONS AND ANSWERS These Questions and Answers highlight selected information to help you better understand: 1. JPERPLMF: J.P. Morgan
More informationImpact of Prolonged Low Interest Environment on Life Insurance
Impact of Prolonged Low Interest Environment on Life Insurance 2003 SEAC Fall Meeting Michael S. Taht Outline Recent interest rate trends Effect of interest rate environment on life insurance 2 The U.S.
More informationJ.P. Morgan Structured Investments
July 2012 J.P. Morgan Structured Investments The JPMorgan ETF Efficiente 5 Index Strategy Guide Important Information The information contained in this document is for discussion purposes only. Any information
More informationSEI Income Portfolio. Investment Policy Statement
SEI Income Portfolio Investment Policy Statement INTRODUCTION An Investment Management Program will determine the right mix of investments for your personal situation in order to meet your long-term investment
More informationCFA Institute Contingency Reserves Investment Policy Effective 8 February 2012
CFA Institute Contingency Reserves Investment Policy Effective 8 February 2012 Purpose This policy statement provides guidance to CFA Institute management and Board regarding the CFA Institute Reserves
More informationThird Edition. Philippe Jorion GARP. WILEY John Wiley & Sons, Inc.
2008 AGI-Information Management Consultants May be used for personal purporses only or by libraries associated to dandelon.com network. Third Edition Philippe Jorion GARP WILEY John Wiley & Sons, Inc.
More informationSolvency II Own Risk and Solvency Assessment (ORSA) July 2010
Solvency II Own Risk and Solvency Assessment (ORSA) July 2010 Background What is ORSA? ORSA is a collection of processes' and activities that continuously shall ensure the company s Solvency situation
More informationINSTITUTIONAL INVESTMENT & FIDUCIARY SERVICES: Building a Better Portfolio: The Case for High Yield Bonds
14\GBS\22\25062C.docx INSTITUTIONAL INVESTMENT & FIDUCIARY SERVICES: Building a Better Portfolio: The Case for High Yield Bonds By Adam Marks, Area Vice President and Jamia Canlas, Senior Analyst By looking
More informationBasel Committee on Banking Supervision. Explanatory note on the revised minimum capital requirements for market risk
Basel Committee on Banking Supervision Explanatory note on the revised minimum capital requirements for market risk January 2016 This publication is available on the BIS website (www.bis.org). Bank for
More informationFixed Income Investor Presentation. July 2012
Fixed Income Investor Presentation July 2012 Cautionary Note on Forward Looking Statements Today s presentation may include forward-looking statements. These statements represent the Firm s belief regarding
More informationIn line performance. Results update 4Q2015. Banks UAE 28 January 2016 DUBAI ISLAMIC BANK
28 Jan 15 28 Apr 15 28 Jul 15 28 Oct 15 DUBAI ISLAMIC BANK In line performance Results update 4Q2015 Banks UAE 28 January 2016 Dubai Islamic Bank s (DIB) reported net profit of AED865mn, in-line with our
More informationAssessing Sources of Funding for Insurance Risk Based Capital
Assessing Sources of Funding for Insurance Risk Based Capital Louis Lee Session Number: (ex. MBR4) AGENDA for Today 1. Motivations of Capital Needs 2. Practical Risk Based Capital Funding Options 3. Types
More informationRegulatory Guidance Regarding Changes in Fixed Income Market Conditions
Regulatory Guidance Regarding Changes in Fixed Income Market Conditions John V. O Hanlon Joshua Katz Dechert LLP Mutual Fund Directors Forum 2014 Policy Conference April 2-3, 2014 John V. O'Hanlon is a
More informationOpportunities and risks in credit. Michael Korber Head of Credit
Opportunities and risks in credit Michael Korber Head of Credit August 2009 Overview Fixed income assets, characteristics and risks Where the current opportunity is in fixed income markets How to access
More informationRegulatory risk metrics and the independent risk function (IRF)
Measuring risk and performance in multi asset investment This document is for Professional Clients only and is not for consumer use There are three key risk management functions in our multi asset approach.
More informationBT Investment Funds. Product Disclosure Statement. Dated 1 July 2013
BT Investment Funds Product Disclosure Statement Dated 1 July 2013 We recommend that you read this Product Disclosure Statement (PDS) in full before making an investment decision. If you have not received
More informationLifePath Index 2060 Fund Q
Release Date: 9-3-215 LifePath Index 26 Fund Q Standard & Poor's 5 Index LifePath Index 26 Custom Target Date 251+... Allocation of Stocks and Bonds 1 8 6 4 2 45 4 35 3 25 2 15 1 5 Years Until Retirement
More informationGE Capital. Liquidity and Funding Overview. Global issuer of long and short term debt. 2012 third quarter
Liquidity and Funding Overview Global issuer of long and short term debt This document contains forward-looking statements - that is, statements related to future, not past, events. In this context, forward-looking
More informationCorporate Risk Management Advisory Services FX and interest rate solutions for clients
Corporate Risk Management Advisory Services FX and interest rate solutions for clients Risk Management: The UBS Warburg approach UBS Warburg has built an outstanding reputation in the management of foreign
More informationRegulatory Capital Disclosures
The Goldman Sachs Group, Inc. Regulatory Capital Disclosures For the period ended March 31, 2014 0 P age Introduction The Goldman Sachs Group, Inc. (Group Inc.) is a leading global investment banking,
More informationICAAP Required Capital Assessment, Quantification & Allocation. Anand Borawake, VP, Risk Management, TD Bank anand.borawake@td.com
ICAAP Required Capital Assessment, Quantification & Allocation Anand Borawake, VP, Risk Management, TD Bank anand.borawake@td.com Table of Contents Key Takeaways - Value Add from the ICAAP The 3 Pillars
More informationHow To Get A Better Return From International Bonds
International fixed income: The investment case Why international fixed income? International bonds currently make up the largest segment of the securities market Ever-increasing globalization and access
More informationMulti Asset Portfolio: Back-testing Report
Multi Asset Portfolio: Back-testing Report Report Prepared for the Hamilton Investment Fund This analysis has been undertaken by Dr Paul Docherty to verify the performance and risk of the Multi Asset Portfolio
More informationDiversifying with Negatively Correlated Investments. Monterosso Investment Management Company, LLC Q1 2011
Diversifying with Negatively Correlated Investments Monterosso Investment Management Company, LLC Q1 2011 Presentation Outline I. Five Things You Should Know About Managed Futures II. Diversification and
More informationPart III: A Helicopter View of Managing Bond Portfolio Risk
Investments Analysis Lecture 8: Risk Management Primer Risks Market Risk Credit Risk Liquidity Risk Operational Risk, Legal Risk, Reputational Risk Focus: Bond portfolios» Not equity funds» Not banks Still,
More informationItem 7A. Quantitative and Qualitative Disclosures about Market Risk. Risk Management
Item 7A. Quantitative and Qualitative Disclosures about Market Risk. Risk Management Risk Management Policy and Control Structure. Risk is an inherent part of the Company s business and activities. The
More informationWestpac Banking Corporation
Westpac Banking Corporation Philip Coffey Chief Financial Officer 31 March 2006 Westpac at a glance Established 1817 Top 40 bank globally 1 Core markets - Australia, New Zealand and near Pacific Total
More informationCredit & Risk Management. Lawrence Marsiello Vice Chairman and Chief Lending Officer
Credit & Risk Management Lawrence Marsiello Vice Chairman and Chief Lending Officer 2006 Progress and 2007 Expectations Well-positioned to perform through the cycle Robust and consistent credit grading
More informationINTRODUCTION TO BETASHARES YIELD MAXIMISER FUNDS ASX CODE: YMAX (Australian Equities) & UMAX (US Equities)
ASX CODE: YMAX (Australian Equities) & UMAX (US Equities) www.betashares.com.au One of the more enduring investment themes in recent times has been the desire for income combined with less volatility.
More informationDYNAMIC DIVERSIFIED FUND
DYNAMIC DIVERSIFIED FUND The Right Assets at the Right Time The SSgA Dynamic Diversifed Fund uses proven market-aware intelligence to dynamically adjust asset allocation ensuring you are in the right assets
More informationFINANCIAL PLANNER METHODOLOGY
FINANCIAL PLANNER METHODOLOGY The MeDirect Planning Tools are online investment planning solutions that provide wealth forecasting and investment advice. Our Planning Tools offer you two investment planning
More informationVDAX -NEW. Deutsche Börse AG Frankfurt am Main, April 2005
VDAX -NEW Deutsche Börse AG Frankfurt am Main, April 2005 With VDAX -NEW, Deutsche Börse quantifies future market expectations of the German stock market Overview VDAX -NEW Quantifies the expected risk
More informationFinancial Risk Forecasting Chapter 8 Backtesting and stresstesting
Financial Risk Forecasting Chapter 8 Backtesting and stresstesting Jon Danielsson London School of Economics 2015 To accompany Financial Risk Forecasting http://www.financialriskforecasting.com/ Published
More informationCredit Risk Management in the Automotive Industry
Alexander Hener Credit Risk Management in the Automotive Industry Structuring of loan and lease securitizations as integrative solution With a foreword by Prof. Dr. Johannes Schneider Deutscher Universitats-Verlag
More informationPORTFOLIO STRATEGY. Exhibit 2: S&P s End of Day Moves Last Week. Market Commentary 19 August 2011. Exhibit 1: ETF Trading Spikes Up
(212 ( PORTFOLIO STRATEGY Victor Lin + 1 212 325 5281 Victor.lin@credit-suisse.com Trading Strategy Leveraged ETF Rebalancing in Perspective Market Commentary 19 August 2011 Key Points Last week s sudden
More informationBasel 3: A new perspective on portfolio risk management. Tamar JOULIA-PARIS October 2011
Basel 3: A new perspective on portfolio risk management Tamar JOULIA-PARIS October 2011 1 Content 1. Basel 3 A complex regulatory framework With possible unintended consequences 2. Consequences on Main
More informationEBF response to Basel Fundamental Review of the Trading Book: A revised market risk framework
Ref.:EBF_005704 Brussels, 31 January 2014 Launched in 1960, the European Banking Federation is the voice of the European banking sector from the European Union and European Free Trade Association countries.
More informationDraft Prudential Practice Guide
Draft Prudential Practice Guide SPG 532 Investment Risk Management May 2013 www.apra.gov.au Australian Prudential Regulation Authority Disclaimer and copyright This prudential practice guide is not legal
More informationOpus Commodities Fund Ltd.
November 2008 NewFinance Capital Opus Commodities Fund Ltd For professional investors only 01 November 2008 678m (USD) Share Class Performance NAV Annualised Return Since Inception Annualised Volatility¹
More informationSix Strategies for Volatile Markets When markets get choppy, it pays to have a plan for your investments, and to stick to it.
Six Strategies for Volatile Markets When markets get choppy, it pays to have a plan for your investments, and to stick to it. Fidelity Viewpoints 8/22/15 The markets have become volatile again, prompted
More information1. Introduction... 3. 2. Process for determining the solvency need... 4. 3. Definitions of main risk types... 9
Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management...4 2.2 Risk identification...5 2.3 Danske Bank s internal assessment of its solvency
More information1) What kind of risk on settlements is covered by 'Herstatt Risk' for which BCBS was formed?
1) What kind of risk on settlements is covered by 'Herstatt Risk' for which BCBS was formed? a) Exchange rate risk b) Time difference risk c) Interest rate risk d) None 2) Which of the following is not
More informationInvesting 200: Behind the scenes on Western s two largest funds
Investing 200: Behind the scenes on Western s two largest funds Martin Bélanger Director, Investments November 20, 2015 Human Resources Disclaimer This presentation material was created to educate and
More informationRISK MANAGEMENT REPORT (for the Financial Year Ended 31 March 2012)
RISK MANAGEMENT REPORT (for the Financial Year Ended 31 March 2012) Integrated Risk Management Framework The Group s Integrated Risk Management Framework (IRMF) sets the fundamental elements to manage
More informationAT&T Global Network Client for Windows Product Support Matrix January 29, 2015
AT&T Global Network Client for Windows Product Support Matrix January 29, 2015 Product Support Matrix Following is the Product Support Matrix for the AT&T Global Network Client. See the AT&T Global Network
More informationSSgA CAPITAL INSIGHTS
SSgA CAPITAL INSIGHTS viewpoints Part of State Street s Vision thought leadership series A Stratified Sampling Approach to Generating Fixed Income Beta PHOTO by Mathias Marta Senior Investment Manager,
More information02/06/2014. Solvency II update. Agenda. Recap: Solvency II three pillar approach. Nick Ford
Solvency II update Nick Ford 02 June 2014 Agenda Intro and brief recap Pillar 1 Main issues Impacts on products Pillar 2 Main issues Internal Model Approval Pillar 3 Actuarial forms and concerns Timelines
More informationWEEKLY ASSET ALLOCATION REPORT
WEEKLY ASSET ALLOCATION REPORT January 11, 2016 Stanley Yeung Quantitative Research Analyst Stanley.yeung@TrimTabs.com +1 (415) 324-5873 CONTENTS TACTICAL ASSET ALLOCATION 3 TRIMTABS ASSET ALLOCATION PORTFOLIOS
More informationA Comparative Study on the Performance of ULIPs Offered by the Selected Insurance Companies-A Study in Indian Capital Markets
A Comparative Study on the Performance of ULIPs Offered by the Selected Insurance Companies-A Study in Indian Capital Markets 1 Mr Kantesha Sanningammanavara Research Scholar, BMS College of Engineering,Bangalore.
More informationICAAP for Asset Managers: Risk Control Limited
ICAAP for Asset Managers: Risk Control Limited March 2015 Copyright Risk Control Limited 2015 1 Contents Risk Control Limited Overview Pillar II ICAAP: Overview Pillar II ICAAP: Step by Step What we can
More informationGuide to Risk and Investment
www.canaccord.com/uk Guide to Risk and Investment Any investment involves a degree of risk and some investments are more risky than others. Whether this is the first time you have considered investing,
More informationRisk Management. Risk Management Overview. Credit Risk
Risk Management Risk Management Overview Risk management is a cornerstone of prudent banking practice. A strong enterprise-wide risk management culture provides the foundation for the Bank s risk management
More informationEVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX
DECEMBER 2008 Independent advice for the institutional investor EVALUATING THE PERFORMANCE CHARACTERISTICS OF THE CBOE S&P 500 PUTWRITE INDEX EXECUTIVE SUMMARY The CBOE S&P 500 PutWrite Index (ticker symbol
More informationStatement of Policy for the Risk Management Program
Statement of Policy for the Risk Management Program I. Purpose The Illinois State Board of Investment (the Board ) has adopted this Statement of Policy for the Risk Management Program ( Risk Policy ) for
More information