Risk

distance-to-default…………………………………………………..3 1.3. 3rd Stage: Derivation of the probabilities of default………………………..………………………5 II Intermediate conclusion 5 III Strentghs of KMV Model 5 IV Weaknesses of KMV Model 6 Today,with the subprime’s crisis, risk management is a very important issue in financial markets. Moody’s bought the KMV Model. KMV Model is a structural model inspired from Merton’s model. It is equivalent to an option model that evaluates the implied volatility of the company’s assets

RÉGLEMENTATION COOKE, PRISE DE RISQUE ET PERFORMANCE DES BANQUES EUROPÉENNES COOKE REGULATION, RISK TAKING AND PERFORMANCE OF THE EUROPEAN BANKING Résumé : La réglementation du Comité de Bâle, à travers le ratio Cooke, exerce une contrainte sur le niveau de capital détenu par les banques afin de limiter leur prise de risque. Dans cet article, nous démontrons que cette réglementation conduit les banques européennes à modifier la composition de leur portefeuille d’actifs et à recourir aux activités

and taking risk are the essence of financial markets. A relatively little known mechanism through which this occurs is the market in structured notes, which have embedded derivatives, some of them very complex. Understanding these instruments can be integral to understanding the underlying derivative markets. In some cases, dealers have used structured notes to bring greater balance to their market risk exposures, by transferring risk elsewhere, including to households, where the risk may be well

cadres ability to meet the schedule : capacité à tenir les délais absence of expected differences : absence de différences attendues absence of known conditions to the contrary, in the : en l'absence de conditions connues contraires accept the risk of not taking action, to : accepter de prendre le risque de ne rien faire acceptable alternatives : alternatives acceptables acceptable industry standards : normes reconnues de l'industrie acceptable level : niveau acceptable acceptable procedures

d'au moins 50% Organisme professionnel : Commissions : Transport Dommages RI Ind Acc / Santé FNACAM 17.5%, 9% à 20% 7.5% à 25% 7.5% à 10% Témoignage Chahid SLAOUI Directeur du contrôle général Groupe ONA www.ona.ma Implémentation du Risk Management Contexte et approche Points clés • • • • • • Le Groupe ONA Contexte de l’implémentation du RM Une gestion globale et intégrée des risques Modalités de déploiement Prochaines étapes Le RM au Maroc Le Groupe ONA • • Fondé en 1919

du groupe Group risk management Les renseignements suivants permettent de constatent les problématiques principales que le groupe prend en compte. The structure of the Group Risk Management Department is divided into the following areas: >  Enterprise Risk Management; (model is ensured by a special ERM Unit, whose task is to establish a common structure and the risk assessment criteria, as well as coordinating the risk assessment process) >  Financial and Strategic Risk Management; (is

interest rates, there was a great amount of profit potential with bonds. Also, in the 1970s the Macaulay duration measure was re-discovered. Stock investors have different levels of risk/return requirements; bond investors will do the same thing. A young, aggressive bond investor may choose a high-risk bond and is willing to risk his principal investment. A retiree may not be willing to take a risky bond investment and may, instead invest in conservative bonds. We assume in this report that we are a bond

Achieving tolerable risk 26 III. Safety Standard 27 IV. Product TC 29 V. Standards’ Requirements: 31 Session 1: from the old to the new approach: I. Introduction: A. What does exactly safety means? Safety is: freedom from unacceptable risk Risk: combination of the probability of occurrence of harm and the severity of that harm Harm: physical injury or damage to the health of people, or damage to property or the environment Acceptable risk: risk which is accepted in

la Banque est exposée et en allant au-delà des exigences strictement réglementaires. 1) Hors dérivés OTC 2) Sans crédits documentaires 3) Ancien modèle VaR transposé à un horizon de 1 jour Fonds propres BCV Groupe • Taux de couverture CFB • Risk weighted assets BRI (CHF milliards) • Tier 1 capital ratio • Total capital ratio • Crédits clientèle bilan et hors bilan1) (CHF milliards) • Taux de perte attendue • Crédits compromis (CHF milliards) • En % du total crédit clientèle et banque

plans d’actions et qu’elle devient ainsi le moteur du processus de management des risques. Cependant, comme dans toute démarche, le risk manager doit s’attendre à rencontrer quelques difficultés fréquentes lors de l’élaboration de la cartographie. Mots-clés Cartographie des risques / risk mapping management des risques / risk management évaluation du risque / risk assessment Mathieu Girème – Mémoire de professionnalisation – Septembre 2011 Page 4 Sommaire Remerciements………………………………………………………………………………