Risk measurement principles

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  • In everyday life we are often forced to make decisions involving risks and perceived opportunities. The consequences of our decisions are affected by the outcomes of random variables that are to various degrees beyond our control. Such decision problems arise, for instance, in financial and insurance markets.

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  • Chapter 14 - Interest rate risk measurement. Upon completion of this lesson, the successful participant will be able to: Describe interest rate risk and its forms, identify the components of an interest rate risk exposure management system, explain the interest rate risk management principle of asset repricing before liabilities,...

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  • The Committee believes that a successful implementation of the revised Framework will provide banks and supervisors with critical experience necessary to address such challenges. The Committee understands that the IRB approach represents a point on the continuum between purely regulatory measures of credit risk and an approach that builds more fully on internal credit risk models. In principle, further movements along that continuum are foreseeable, subject to an ability to address adequately concerns about reliability, comparability, validation, and competitive equity.......

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  • Let me begin this preface with a confession of a few of my own biases. First, I believe that theory, and the models that flow from it, should provide us with the tools to understand, analyze and solve problems. The test of a model or theory then should not be based upon its elegance but upon its usefulness in problem solving. Second, there is little in corporate financial theory, in my view, that is new and revolutionary. The core principles of corporate finance are common sense ones, and have changed little over time....

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  • It is an incredible honor and privilege to follow in the footsteps of an individual who had a profound infl uence on the course of history and the fi eld of systems engineering. Since publication of the fi rst edition of this book, the fi eld of systems engineering has seen signifi cant advances, including a signifi cant increase in recognition of the discipline, as measured by the number of conferences, symposia, journals, articles, and books available on this crucial subject.

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  • .Advance Praise for Pricing, Risk, and Performance Measurement in Practice “The book represents a fresh and innovative departure from ‘traditional’ approaches to modelling of securities data. Subsequently, it also presents much more flexible ways to analyze and process the data. Even if you are not involved with re-architecting an organization’s master data handling, there are numerous ideas, principles, and nuggets that make it a worthwhile read.” –Dr.

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  • Starting in the spring of 2009, a fast recovery in global equities and a rise in house values in many economies (the euro area and Japan are exceptions) were accompanied by a reduction in corporate bond spreads and other risk premia (Graphs II.1 and III.2, top panels), though some risk measures have meanwhile risen again in the context of the Greek sovereign debt crisis. Reported VaR figures show that risk as measured by potential losses from banks’ trading positions remains high (Graph III.2, bottom left-hand panel).

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  • companion document, entitled Guidance on Safety Performance Indicators (2003), will be published immediately following the 2nd edition of the Guiding Principles. The Guidance on SPI is designed to assist relevant stakeholders to establish programmes for assessing their own performance related to the prevention of, preparedness for, and response to chemical accidents.

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  • WHO has a long tradition in synthesizing the evidence on health aspects of air quality and in preparing air quality guidelines defining conditions for healthy air. We are grateful to the outstanding scientists conducting this work. We hope that these new guidelines will be useful globally to people assessing indoor air quality with a view to predicting its effects on health, and also to those with responsibil- ity for introducing measures to reduce health risks from indoor exposure to air pollutants.

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  • The Committee believes that a successful implementation of the revised Framework will provide banks and supervisors with critical experience necessary to address such challenges. The Committee understands that the IRB approach represents a point on the continuum between purely regulatory measures of credit risk and an approach that builds more fully on internal credit risk models. In principle, further movements along that continuum are foreseeable, subject to an ability to address adequately concerns about reliability, comparability, validation, and competitive equity....

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  • Chapter 6 - Portfolio risk and return (Part II). The topics discussed in this chapter are: Portfolio risk and return, optimal risky portfolio and the capital market line (CML), return-generating models and the market model, systematic and non-systematic risk, capital asset pricing model (CAPM) and the security market line (SML), performance measures, arbitrage pricing theory (APT) and factor models.

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  • Chapter 20 explores the causes of income inequality, its measurement, and means by which government redistributes income to reduce poverty. The Lorenz Curve (numerically, a Gini ratio) illustrates the degree of income inequality in a country. Income inequality is caused by differences in ability, education and training, discrimination, preferences and willingness to take risks, wealth, market power, luck, connections, and misfortune.

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  • CHAPTER EIGHT RISK AND RETURN We began to come to grips with the problem of measuring risk. Here is the story so far. The stock market is risky because there is a spread of possible outcomes. The usual measure of this spread is the standard deviation or variance.

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  • In this chapter, we study the mathematical structure of a simple one-period model of a financial market. We consider a finite number of assets. Their initial prices at time t = 0 are known, their future prices at time t = 1 are described as random variables on some probability space. Trading takes place at time t = 0. Already in this simple model, some basic principles of mathematical finance appear very clearly. In Section 1.2, we single out those models which satisfy a condition of market efficiency: There are no trading opportunities which yield a profit without any downside risk.

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  • An FMI should effectively measure, monitor, and manage its credit exposures to participants and those arising from its payment, clearing, and settlement processes. An FMI should maintain sufficient financial resources to cover its credit exposure to each participant fully with a high degree of confidence.

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  • The mortality from ischemic heart disease has decreased in recent years. The better under‐ standing of risk factors associated with development of coronary artery disease (CAD) has significantly contributed to this decline. Preventive measures such as aggressive therapy of arterial hypertension, diabetes mellitus, and lipid disorders and by campaigning against the smoking are important components of this medical success.

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  • Despite the flurry of media and political attention to air quality-induced illnesses and deaths, the question still remains as to what will be the future air quality in Ontario and what are the health consequences. Are more aggressive measures required to reduce the risk of poor air quality for human health? What benefits would be realized now and in the future from improved air quality? These are examples of pertinent environmental policy questions for which sound answers are needed. This need has been recognized for many years by the OMA.

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  • The Committee evaluated whether the 100% CCF for contingent trade finance products in calculating the leverage ratio is too high and whether the 100% CCF disadvantage banks specialised in trade finance. In principle, off-balance sheet positions are subject to a CCF when calculating the risk-based capital adequacy measure under the Basel capital framework. The CCF reflects the likelihood of an off-balance sheet position becoming an on-balance sheet item. The Committee decided to not change the CCF for calculating the leverage ratio.

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  • The risk of arterial disease and microvascular complications in people with diabetes are known to be related to the extent of hyperglycaemia with time. While the lifestyle, oral agent, and injectable therapies discussed in this guideline can improve blood glucose control, their efficacy is limited, as the underlying pathogenesis of diabetes worsens with time. As symptoms are not a reliable guide to blood glucose control in people on therapy, it is important to have an accurate means of measuring blood glucose control over time, to enable decision-making.

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  • Child malnutrition - measured as poor child growth - is internationally recognized as an important public health indicator. Young children are most vulnerable to malnutrition and face the greatest risk of its adverse consequences. Malnutrition is caused not only by food deprivation, but also by the debilitating effects of infectious diseases, such as diarrhoea and pneumonia, and lack of care. It contributes to over half of child deaths. Progress in reducing child malnutrition has been slow (see Figure 1).

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