Chapter

Risk management

Mark H. A. Davis

in Mathematical Finance: A Very Short Introduction

Published in print January 2019 | ISBN: 9780198787945
Published online January 2019 | e-ISBN: 9780191829932 | DOI: https://dx.doi.org/10.1093/actrade/9780198787945.003.0007

Series: Very Short Introductions

Risk management

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The risk management function of a financial company monitors a whole range of risks that the company faces: market risk, credit risk, liquidity risk, operational risk, reputational risk, and legal risk. Some of these are connected to regulatory requirements, while others are internal procedures designed to assist the management of the company’s assets and liabilities. ‘Risk management’ focuses on market risk, which is concerned with assessing how sensitive the value of the company’s trading book is to anticipated movements in the market prices of the assets it contains. Evaluations are carried out at various levels of aggregation from individual trading desk to the company as a whole.

Keywords: Bank for International Settlements; R. A. Fisher; market risk; quantile; risk management; value-at-risk

Chapter.  2826 words.  Illustrated.

Subjects: Economics ; Mathematics ; Mathematical Finance

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