Value at risk

exposure in counterparty credit risk Analysis of collateral as a risk management tool Pricing counterparty credit risk Examining the regulatory framework Hedging counterparty credit risk Causes of wrong way risk Discussing the role of a central clearing house to help mitigate counterparty credit risk incisive-events.com/ccr Counterparty Credit Risk Management in OTC Derivatives London 3 & 4 November 2008 New York 6 & 7 November 2008 Counterparty Credit Risk Management in OTC Derivatives

condition articles of partnership (A/P), of association (A/A) les statuts de la société assembly line une chaîne de montage assets l'actif assets, current actif circulant, de roulement assets, fixed les immobilisations at carrier's risk (CR) aux risques du transporteur at owner's risk (OR) aux risques du propriétaire auction sale une vente aux enchères auctioneer un commissaire priseur audit the accounts, to vérifier, apurer les comptes auditor un commissaire aux comptes automatic debiting (transfer)

firms carrying out crossborder M&As do generate enough value to keep up with stockmarket requirements, relative to their risk level as determined by the Fama & French three-factor model and the level of returns generated by peer firms in their main industrial sector. Our findings agree with the internalization theory and suggest that acquiring firms engaged in cross-border M&As can indeed realize efficiency gains and create long -term value for their shareholders, but only under certain conditions:

I Description of KMV Model 2 1.1. 1st Stage: Estimation of the asset value and the volatility of asset return……………3 1.2. 2nd Stage: Calculation of the 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

phases : Le best estimate est la valeur actuelle probable des flux futurs de trésorerie, c’est à- dire la moyenne des paiements futurs actualisés. Le Best Estimate peut être calculé de multiples façons (lois statistiques, etc.) La Market Value Margin constitue une marge de prudence dans l’estimation des provisions techniques. Elle offre un complément de provision et sert en quelque sorte d’amortisseur au cas où le best estimate des engagements techniques serait insuffisante. Le premier

ENGLISH LOGISTICS AND RISK MANAGEMENT Page 1 OUT-LINE INTRODUCTION PART 1: DEFINITIONS AND ROLES CHAPTER 1: DEFINITIONS IIILogistics Risk Management CHAPTER 2: ROLES IIILogistics Risk Management PART 2: LOGISTICS AND RISK MANAGEMENT IN BUSINESS FIRMS AND INDUSTRY ENTREPRISES CHAPTER 1: BUSINESS FIRMS IIIIIIPurchasing Stock Management Distribution CHAPTER 2: INDUSTRY ENTREPRISES AND RISK MANAGEMENT IIIIIIIVPurchasing Stock Management Production Management Distribution PART 3:

customers with personal term, disability and income protection insurance products. * Australian Mature including whole of life, endowment, investment linked, investment account and annuities. * AMP Financial Services New Zealand which is a risk insurance business including a superannuation and investment business. * AMP Capital Investors which manages investments across all the major asset classes including equities, fixed interest, infrastructure, property, diversified funds and multi-manager

For instance, the bank serves high-value customers with skilled and dedicated relationship managers at its branches and provides specialized savings services online, while directing lower-value customers to generalist or other channels. Like Tesco, BNP Paribas has extensive customer-relationship-management (CRM) capability, which allows it to reach and serve customers through the most efficient channels. Thus, branches focus on higher-value products sales and value-added services, while call centers

43 2.2. Highlights of the hedge fund industry in 2009. 53 Chapter 4. Hedge fund activity and perspectives in Russia. 57 1. Hedge fund development at the present stage in Russia. 57 2. Primary hedge fund industry players and their performance indicators. 62 3. Hedge fund market perspectives in Russia. 71 Conclusion

VaR is defined as the predicted worst-case loss at a specific confidence level (e.g. 99%) over a certain period of time. VaR is the worst loss over a target horizon with a given level of confidence (Jorion definition) 4 Daniel HERLEMONT Page 2 2 VaR 1 0.8 0.6 0.4 VaR1% 1% 0.2 -3 -2 -1 Profit/Loss 1 2 3 5 Daniel HERLEMONT Meaning of VaR A portfolio manager has a daily VaR equal $1M at 99% confidence level. This means that there is