Value at risk

reducing their cost of financing to exploiting arbitrage opportunities or transferring credit risk. Irrespective of their form, CDOs are issued in different tranches that are tailored using securitisation techniques. The process of tranching allows credit risk and returns on their underlying portfolio to be redistributed to investors in an ad hoc fashion. CDOs are part of an ongoing trend of converting credit risk into a marketable commodity. This process started with securitisation, and was then sustained

général). C'est la probabilité que les pertes éventuelles du portefeuille ou de l'actif ne dépassent pas la Value at Risk, par définition ; l'horizon temporel choisi. Ce paramètre est très important car plus l'horizon est long plus les pertes peuvent être importantes. Par exemple, pour une distribution normale des rendements, il faut multiplier la Value at Risk à un jour par  pour avoir la Value at Risk sur  jours. D'une manière générale, la VaR donne une estimation des pertes qui ne devrait pas être dépassée

ISFA - Universit´ Lyon 1 e Mai 2007 Optimisation de portefeuille selon le crit`re de la Value at Risk e Guillaume Nolain, Yahia Salhi, Serge Werl´ e Table des mati`res e Introduction 1 La Value at Risk 1.1 Adoption de la VaR . . . . . . . . . . . . . 1.2 Le concept de la VaR . . . . . . . . . . . . . 1.2.1 Pr´sentation . . . . . . . . . . . . . e 1.2.2 Particularit´s . . . . . . . . . . . . . e 1.2.3 Approche Classique . . . . . . . . . 1.3 Le probl`me des distributions non Normales e

would have declined to about $700. By not investing the money, you would have lost some of it. But if you put the $1,000 into investments, such as a mutual fund or stocks and bonds, you at least had a chance that the buying power of your money would be the same or higher—because the investment went up in value, or because you received dividends or interest on it, or both. So how should you invest the money you’re saving for your future? There are lots of choices: mutual funds, index funds, stocks

Teaching Note on “Corporate Value” When you ask the question “what is the value of a company?”, the answer is quite often: “the price somebody’s ready to pay for it”. This answer looks reasonable, but is useless when it comes to set up the conditions of an IPO or take an investment or divestment decision. The price paid by anybody is the result of a transaction. In any transaction, there is a buyer and a seller. If the transaction price is, say, $100, it means that both parties agreed to exchange

La première étape pour limiter ce risque de liquidité serait de pouvoir l'évaluer. Ainsi nous allons analyser les différentes méthodes permettant de mesurer ce risque. 2- Les méthodes d’évaluation du risque La « Value at risk » La VaR (de l'anglais value at risk, traduit « valeur sous risque ») est une notion utilisée généralement pour mesurer le risque de marché d'un portefeuille d'instruments financiers. Elle correspond au montant de pertes qui ne devrait être dépassé. VaR=

understandability and the applicability of the ICFR, COSO released Internal Control over Financial Reporting—Guidance for Smaller Public Companies (ICFR-SPC). Although the true value and utility of the ICFR-SPC for compliance with SOX section 404 will become clearer over the next several years, the authors believe that the value of the ICFR-SPC goes far beyond publicly traded Framework (ICFR) in 1992, the event went largely unnoticed. The importance of this framework changed dramatically with the

ab UBS Wealth Management Research / 13 October 2008 Corporate Update Lowered earnings bar met; Hold Stock rating: Hold Share price: USD 21.50 USD 27 Estimated fair value range: USD 23 Issuer credit rating: AAA (Credit Trend: Stable) View versus MSCI US Capital Goods: Marketperform At a glance General Electric's 3Q 2008 EPS of USD 0.45 met the consensus. Weak results from the financial segment offset healthy sales and order growth from the industrial units. We cut our 2008E-2009E EPS and EFVR

user d’une approche de modèle interne (Value At Risk ; Expected Shortfall) pour mettre en place leur couverture du risque de marché. Ces méthodes sont utilisées car elles reflètent mieux les bénéfices de la diversification et amènent à des exigences plus faibles sur capitaux. En général, la méthode de la Value At Risk est la plus utilisée malgré les meilleures propriétés théoriques de la théorie « Expected Shortfall ». Concrètement, la méthode Value at Risk implique que l’on tienne compte du calcul

offering better value, low prices, high quality, superior distribution, great advertising strategies or superior brand image. Global village: it refers to the phenomenon in which the world’s population shares commonly recognised cultural symbols. Good sentence to remember: markets are people, not products. There may be global products, but there are not global people. 1.5 The value chain as a framework for identifying international competitive advantage The concept of the value chain It provides