Setting Treasury Risk Limits: Defining Risk Appetite, control limits and limit breaches
4 mins read Treasury Limits and Control process Risk models only have value if they are used effectively in combination with limit management
4 mins read Treasury Limits and Control process Risk models only have value if they are used effectively in combination with limit management
< 1 min read 9 commonsense Rules for implementing Value at Risk Earlier today, I wrote about the Jorian-Taleb debate on the relative
5 mins read One of the most common question I face as a consultant deals with how do you actually implement Value at Risk. Here implementation is used more along the lines of interpretation of value at risk rather than physical implementation. Clients understand that systems need to be purchased, controls need to be created, data needs to be gathered but once every thing is in place and you are getting your 2,500 risk reports every day, what do you do next. How do you actually read the VaR reports and how do you link it to controls
3 mins read Treasury Risk reference Treasury Risk Reference for Risk Metrics, Holding Period Return, Standard Deviation/ Volatility, Annualized Return , Annualized Volatility,
2 mins read This formula reference includes the following formula, sections and terms related to calculating Value at Risk
< 1 min read Here is a pricing and valuation equation glossary for the financial engineering field used as a reference for the courses