Risk Management - publié le 24/05/2009

Extraits

[...] Elton and M. J. Gruber, "Risk Reduction and Portfolio Size: An Analytic Solution Gestion des risques et institutions financiers, Hull, John, Pearson education Finance internationale et gestion des risques, Yves Simon, Économica The Risk Management Guide. (2006). http://www.ruleworks.co.uk/riskguide/risk-identification.htm McNamara, C. (1999). Basic Considerations in Risk Management http://www.mapnp.org/library/legal/rskmgmnt.htm Course material Course material Course material Course material. [...]

[...] That is why it is important to reflect about many potential pressures that could be present in the hedge fund as the market risk (as the primary resources of the portfolio assessment, liquidity, leverage, and counterparty risk) and the operational one (people interaction in a specific system and data). The great growth of the economic leverage would also move up a risk to the hedge fund. The important possible risk possibly will have consequence on big losses in the changeable market. In addition, using classic measurement methods may cause hedge funds weaknesses. [...]

[...] In this way, to monitoring and reporting keys factors all trading product within all the dimension and variables outlined by the VaR set up. Indeed, regarding the current value of each instrument and portfolio components, each is the simple dimensional function of current market asset. So, we have to focus on the risk map performances and lead changes in order to be able to rectify potential issues. Part Costs Derivative contracts have become increasingly important as investment tools for achieving higher returns and decreasing funding costs. [...]

[...] Historical survey: managers normally do not adjustments toward the period's investment or past time series except concerning the past data. Adjustments include the VaR average within a one standard deviation, exponential smoothening of VaR, and worst time period meet. Stress tests: as an addition to the VaR model, Stress tests/Scenario is still widespread and risky. Trading products as credit product, correlation ones, those with non linear position, derivatives products .are not take in consideration enough to define the economic capital. Bibliography Cooper, D., Grey, S., Raymond, G., and Walker, P. (2006). Project Risk Management Guidelines. E. J. [...]

[...] Through sophistical trends, we could measure how it could affect any project on the long term and involve its management ways. Even the measurement needs to be improved all the time according to the global changes, measuring risks brings many benefits: It allows the risk management and focusing on the more profitable one It allows efficient metrics regarding to the risk/return ratio which allow aligning the corporate policies with the corporate strategic goals. It ropes a risk-aware culture in the business It allows the competitive implementation and the market areas domination through analysis and elements sensibly estimated. [...]