Risk Monitoring and Performance Measurement
About the Lecture
The lecture Risk Monitoring and Performance Measurement by Edu Pristine is from the course Archiv - Risk Management & Investment Management. It contains the following chapters:
- VaR and Tracking Error as Risk Measures
- Risk Planning
- Risk Budgeting and Risk Monitoring
- Discussing Sources of Risk Consciousness
- Objectives of a Risk Management Unit
- Risk Management and Consistence
- Liquidity Considerations
- Objectives of Performance Measurement
- Common Features of Performance Measurement Framework
Author of lecture Risk Monitoring and Performance Measurement
Edu Pristine
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Excerpts from the accompanying material
... largest loss possible at a certain level of confidence over a specified period of time. For example, a firm could express its VaR as being 95% certain that it ...
... the actual returns will be less than budgeted returns. VaR could be determined for each asset class and capital allocation decisions could be made among asset classes to achieve targeted level of dollar VaR. ...
... 1. Risk plan must have expected return and volatility targets. These targets must be set for defined periods and should also include some benchmarks which help in determining the success ...
... exist inside and outside the organization. Plan should also devise an alternative step if these dependencies are broken down. Effective risk planning requires very active input from the entity's highest level of management so ...
... steps of the risk planning. This process of quantifying the risk plan is called as risk budgeting. Risk budgeting helps us to give a definite measure of how much the actual observations have moved from the benchmark set by the risk plan. Quatitative methods ...
... in risk management issues. Are aware of the effective oversight over asset management activities. Investors: More knowledgeable about their investment choices. ...
... (RMU) monitors an investment management entity's portfolio risk exposure and ascertains that the exposures are authorized and consistent with the risk budgets. Objective of RMU are: - gathering, monitoring, analyzing ...
... performance attribution analytical tools. Gathering risk data to be analyzed in making portfolio manager assessments and market environment assessments. Providing management team with information to better ...
... Expectations: The manager should generate the forecasted level of tracking error that is consistent with the target. The manager should ...
... requires to dispose of all the assets of a particular portfolio without any significant change in the market value of the ...
... managers associated with the investment management according to their performance when compared with various benchmarks. To determine if the risk adjusted return under a particular manager ...
... also outperform its peer group. Only through proper measurement can an investor truly determine if ...
... manager must produce a portfolio whose risk characteristics approximate the target. The returns should be assessed on their ability to earn excess returns ...
... the realized risk may result in overstated performance calculations. Comparisons with benchmark portfolios and peer groups. One should always regress the excess returns of the investment against the excess returns of the benchmark. ...
... the regulator of any wrong practices. B. Assisting an entity in formulating a systematic and rigorous method to identify and deal with risk. C. Promoting a greater sense of risk awareness within the ...
