Value at risk

1 The credit default swap is a simple derivative contract that has revolutionized the trading of credit risk. Over the past five years it has become the most widely used credit derivative product, representing about 72.5% of a total outstanding market notional currently estimated to be around $2.3 trillion2. The default swap market is truly global, with contracts linked to the credit risk of a wide array of US, European and Asian corporate names as well as to a number of sovereigns. The point of

pour conséquences potentielles de lourdes pertes financières. Ces dernières années, les méthodes de mesure et de contrôle des risques se sont considérablement développées. Cet article s’intéresse plus particulièrement à l’earnings-at-risk, un dérivé de la value-at-risk. Son objectif est de préciser son intérêt pour le manager en montrant comment l’utiliser de façon à préserver la performance de l’entreprise. L a littérature de gestion est une grande consommatrice du terme « risque ». Utilisé

charge for credit value adjustment (CVA) will have a significant impact on major derivatives dealers. But risk managers argue the revised charge is not risk-sensitive enough and fails to reflect the diversity of approaches to CVA. Mark Pengelly reports Bankers breathed a sigh of relief in December, when the publication of the final text of Basel III confirmed what many already suspected – the Basel Committee on Banking Supervision had accepted its original proposals for a credit value adjustment (CVA)

DEMYSTIFYING DERIVATIVES ACCOUNTING Adding Value Through Corporate Disclosure, Market Data and FAS 133 Compliance A Special Report Sponsored By JULY 2002 A Special Report from July 2002 MAKE RISK AN ADVANTAGE DEMYSTIFYING DERIVATIVES ACCOUNTING Adding Value Through Corporate Disclosure, Market Data, and FAS 133 Compliance Since their rise to popularity in the early 1970s, people have viewed derivatives with both awe and fear. Derivatives users range from traders, who seek to

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

three of a kind at the opening? • 5.3%. 2 R Lampariello - MerckSerono - Paris, 5 Oct 2010 Summary High uncertainty in the pharma business Merck Serono International Evaluation of R&D projects – NPV – Dynamics of NPV: uses, abuses and misuses Copying with project uncertainty Copying with portfolio uncertainty Conclusions 3 R Lampariello - MerckSerono - Paris, 5 Oct 2010 The pharma business High uncertain business Main causes of uncertainty – Risk nature • • • • Technical

Interest rate risk in the French banking system JEAN-LUC QUÉMARD General Secretariat of the Commission bancaire International Affairs Division V ALÉRIE GOLITIN General Secretariat of the Commission bancaire Banking Studies Division Although most bank failures and banking problems historically have been attributable to poorly managed exposures to credit risk, inadequate management of interest rate risk can give rise to the same types of problems, as illustrated by the U.S. 'savings and loan

SPOTLIGHT on AbLA G_EJ O L E N X Bringing Rigor to Risk Management Risk management takes on a challenging new dimension in today's extended supply chains. Meeting that challenge hegins with a rohust planning process. By Kish Khemani Risk management is emerging as a key Focus area lor corporations, especially in terms ol the extended supply chain. Traditionally, commodity-price liuetuations and supply disruption have been the two top-ol-mind risk concerns lor supply management people. But as they

investment project Estimate expected cash flows including salvage value Determine the riskiness of the cash flows Determine cost including risk premium Estimate the NPV of cash flows Compare NPV of inflows and outflows Financial Assets Determine the price that must be paid for the asset Determine future interest or dividend payments and expected sales price Determine the riskiness of the cash flows Determine cost including risk premium Estimate the NPV of future interest or dividend payments Compare

simple and efficient numerical procedure for valumg optlons for which premature exercise may be optimal. 1. Introduction An option is a security which gives its owner the right to trade in a fixed number of shares of a specified common stock at a fixed price at any time on or before a given date. The act of making this transaction is referred to as exercising the option. The fixed price is termed the striking price, and the given date, the expiration date. A call option gives the right to buy the shares;