Enterprise Risk Management / Governance / Adjustment von Edu Pristine

Dozent des Vortrages Enterprise Risk Management / Governance / Adjustment

Edu Pristine

Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.

EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com

Kundenrezensionen

Auszüge aus dem Begleitmaterial

... as in firms as the ways in which directors authorize, optimize, and monitor risk taking in an enterprise.

... in the same currency, responsible division managers might decide to purchase separate currency hedges. This represents a siloed approach, which does not enhance value. Taking an enterprise wide approach instead, using ERM, rend ers such actions unnecessary, because the conglomerate already has a natural hedge coordinated ...

... are firm risks and can be diversified away by the individual investor in the firm’s shares Risk Adjusted Value
Definition: The value of a risky asset can be estimated by discounting the expected cash flows on the asset over its life at a risk adjusted discount rate Process to estimate RaV © EduPristine For FRM-I (Confidential) 0 Source: Risk Taking: A Corporate Governance Perspective ...

... discount at the risk free rate, the value of the asset becomes: ...

... business mix or financial leverage
It is estimated with error: There is a standard error of beta, so the ...

... Treatment Decision Risk Reporting - Opportunities Risk Reporting Threats and Opportunities Risk Assessment - Risk Evaluation - Risk Analysis ...

... Governance Perspective - The Risk Management Process - The Risk Management Process 1. Setting firm´s risk management goals and implementation on the CG ...

... macroeconomic risks that have an influence on the value. 2. Measure and decide which risks to hedge, avoid, or retain based on impact on enterprise value. Risk hedging is not always optimal and can reduce value in many cases. Having made an inventory of risks, the firm has to decide which risks it will attempt to hedge and which ones it will allow to flow through to its investors. The size of the firm, the type of stockholders that it has ...

... of what to expect in a market meltdown and how to deal with it. It also might come from the control of a resource —physical or human— that gives the company an advantage when exposed to the risk. Having access to low cost oil reserves might give an oil company an advantage if oil prices drop. A superior legal ...

... (see also Section XIII) 1. Same, and ensuring that senior management takes steps necessary to identify, measure, monitor and control risks. 1. Same 2. Reviewing the adequacy of the firm’s capital and allocations to various business units considering the types and sizes of risks at those business units 1. Same 2. Same 3. Establishing an enterprise-wide risk management framework for all companies in the group 3 Composition 1. At least three board members 1. Same 2. Material presence of non-executive board members 6 1. Same, but ...

... terms, preferably annual, but not exceeding Board terms 1. Same 2. One-year renewable terms 1. Same 2. Same 7 Remuneration (in addition to compensation for work as a Member of the Board) 7 1. Is solely related to fulfilling the obligations of a committee member (no form of payment which would compromise) 1. Same, payment as committee feels and / or meeting ...

... A corporate Governance Perspective - Information Risk and Data Quality - GARP Code of ...

... flows - Loss of Confidence of management reporting, low confidence in forecasting - Customer Satisfaction goes ...

... Resulting in Data Errors - Data Entry Errors - Duplicate Records - Missing ...

... - Completeness - Consistency - Reasonableness - Currency - Uniqueness - Other ...

... ensure that an acceptable level of confidence in the data effectively satisfies the organization’s business needs - It governs the roles, responsibilities associated with the quality of data - Data Quality and Data ...

... or weights - Viewpoints where data metrics can be reported: • By ...

... - A quality scoreboard: • Hierarchical rollup of metrics should ...

... The first two readings are new this year – You can say ...

... 1. Professional Integrity and Ethical Conduct 2. Conflicts of Interest 3. Confidentiality ...

... Permanent Removal from GARP Membership roles • Temporary or Permanent ...

... asset to the market return is known as Beta - Beta is calculated as follows: - 61 Portfolio Beta ...

... the Treynor measure, the better the portfolio • However, this measure should be used only for well - diversified portfolio - Beta RRfp - Jenson’s alpha: Jenson’s alpha • Rp = portfolio ...

... Error - Information Ratio - Sortino Ratio Where MAR is the Minimum Acceptable Return ...

... 0.75. The expected return of the market is 11% with a standard deviation of 18%. The risk-free rate ...

... RB = benchmark return • Lower the tracking error lesser the risk differential between portfolio and the benchmark index - Information Ratio (IR): • Measure of risk-adjusted return for a portfolio, defined as expected active return per unit of tracking error • Higher ...

... returns of the benchmark were 7%, 10%, 4%, and 10%. The minimum acceptable return is ...

... Return 68 - 7.75% 4 12496 - SSD .0700.0775 SR ...

... • Portfolio return: 12.2% • Standard deviation: 16.4% • Benchmark return: 11.9% • Risk-free rate: 4.75% • Calculate the semi-standard deviation ...

... Solution B. • Semi Standard Deviation = SSD = ...

... is 15.3%, its beta is 1.15, its tracking error volatility is 6.5% and its semi-standard deviation is 9.4%. Lastly the risk ...

... (Question): Sharperatio / IR Correlation ρPB = 0.961 73 Average Volatility Performance ...

... • Absolute performance is even poorer than portfolio - 65.0 % 20% 3% 10 - SR - Information ratio • Absolute performance is ...

... Sharperatio / IR: Summary - IR Positive Signifies ...

... in FRM Part 1 curriculum: • Morning Star Rating System • VaR Based ...

... investment funds is ranked by the firm Morning Star - This ranking is done within a peer group ...

... also be used for investment decision making process. If the fund manager wants to add a new security in the portfolio, then the new VaR of the portfolio will be compared with the VaR of ...

... is modified to capture the appropriate investment style of the fund - This measure is also known as style risk adjusted performance measure (SRAP) - There is another ...

... - MG bought futures on NYMEX to offset its forward commitments exposure with hedge ratio of one (every barrel was hedged) - As these derivatives were short-term thus MG had to roll them forward every month-end or term-end till 5 - 10 years or the contract’s end - Company ...

... Bank Investors Investors Capital: $20 Mn Borrowed Debt Market: $300 Mn (Unsecured Loan) Capital: $20 Mn Borrowed Debt Market: $300 Mn ...

... with fund performance Equity Derivative Losses due to: • Change in British Tax laws regarding valuation of long dated stock options • Large position in Japanese Bank Warrants (were not adequately ...

... unfair dealings led to ~US$ 2.6 Bn loss for Sumitomo - Positions were so large that company could not liquidate them completely - Hamanaka used his independence to trade in the market on behalf of the company and manipulated the copper prices by buying physical copper in ...

... ~US$5: 130 Bn of equity and assets - LTCM’s model assumed maximum volatility of 20% annually. Based on its models, it was expected to losses more than ~US$ 500 Mn in once in 20 months - It had its bet on convergence of Russian and American G-sec yield, which however diverged after Russian default. ...

... prices. Without knowledge of anyone at London HO and Barings Singapore, he started speculative positions and incurred heavy losses. He hid the losses in a fictitious account: ‘88888’ and continued taking more risks to recover earlier losses. Finally his activities were uncovered in 1995 when accumulated losses were US$ 1 Bn - Reported profits: Leeson was considered as a star-performer and reported record-profits for many years. Instead he was hiding all losses in a fictitious account –‘88888’. ...

... of front and back office function, their recommendations were never implemented. Leeson faced negligible supervision in his back office activities - Barings Bank had a Matrix structure of organization, but without proper controls 7 communication channels, the organization structure added to confusion as to who was reporting to whom - External auditors ‘C&L Singapore’ once pointed a spurious receivable of Euro 50 Mn from an entity SLK. Instead of going into details of this transaction, the management requested the auditor ...

... operations. BOE allowed concession to Barings Bank that exposure to Osaka exchange and SIMEX can exceed 25% of its capital base, but failed to put a limit on the extent of this exposure. Consequently, Barings exposure reached 73% of capital base to Osaka exchange and 40% on SIMEX at a point in time - In ...

... losses exceeding US$ 170 Mn - P&G had invested in heavily leveraged IRS that lost substantially after US Fed raised interest rates in 1994 (i.e. same time when Orange county lost money on ...

... did not make money, then reported profits grew quickly ($32 Mn in 1992, $151 Mn in 1993, and $81 Mn in the first quarter of 1994) - Jett was Kidder ’s “man of the year” in 1993 and was awarded a $9 million ...

... Jett was openly engaged in his trading fraud - Compensation is an imperfect signal of competence - Credentials are imperfect signals of competence. Joseph Jett had an MIT undergraduate degree and a Harvard MBA. Jett’s boss, Ed Cerullo, had a respectable career on Wall ...

... (in which AIB first took a stake in 1983) and Dauphin Deposit Corporation (which AIB acquired in 1997). Susan Keating becomes Allfirst chief executive - June 2001: John Rusnak is promoted to managing director in charge of foreign exchange trading, in the ‘global trading’ division of the treasury funds management section, or front office - Late December, 2001: Allfirst officials start to become suspicious ...

... Allfirst and AIB announce that six executives who were responsible for oversight of Rusnak’s activities are to be dismissed. A number of organizational and structural changes are also announced, including the appointment of an individual to oversee risk management across the AIB ...

... very risky – and it is not just a question of market risk. A relatively small outfit without access to the information, expertise and economies of scale of much larger financial institutions may find it difficult to manage and control a proprietary trading business effectively. The potential operational risks may outweigh the potential market returns, perhaps greatly - Risk management architecture is crucial – The Ludwig report ...

... general, a firm will specify a risk measure that it focuses on together with additional risk metrics (Example for risk metric is VaR) - When that risk measure exceeds the firm’s tolerance for ...

... risk management issue as long as the risks were properly understood - Rather, it is an issue of assessing the costs of losses versus the gains from making large profits. Example: Failure of ...

... Such approaches work well when there is a lot of data and when it is reasonable to believe that the returns will have the same statistical distribution in the future as they had in the ...

... 1. Risk metrics failure. Example: MG and LTCM 2. Incorrect measurement of known risks. Example: ...

... below VaR, but accumulating on an annual basis • Does not capture extremely large losses which have a very low probability of occurrence • VaR ...