Setting up Treasury Limits: Working with Stop Loss Limits
3 mins read Capital Loss and Stop Loss – Defining risk appetite? Stop loss limits Stop loss limits act as a safety valve
3 mins read Capital Loss and Stop Loss – Defining risk appetite? Stop loss limits Stop loss limits act as a safety valve
2 mins read For control and governance purposes the Treasury limit management function is kept under a separate group called the Middle Office with its own independent reporting line. The Middle Office function tracks and reviews treasury exposures on a day to day basis and technically in collaboration with the business users is expected to review limits whenever a change in market conditions requires it.
4 mins read Treasury Limits and Control process Risk models only have value if they are used effectively in combination with limit management
3 mins read Qualifications to using and Limitations of the Value at Risk (VaR) Metric VaR is dependent on historical data and therefore
2 mins read Liquidity Management Setting limits for liquidity risk In general liquidity limits have to be assessed for ‘normal’ business operation conditions
5 mins read Calculating Variance-Covariance (VCV) Value at Risk (VaR) This method assumes that the daily returns follow a normal distribution. From the