Download report: The Practical Management of Market Risk
Managing market risk is more than evaluating exposures and anticipating potential losses. Stressful market conditions like those during the 2008 credit crisis involve other issues: loss of liquidity, ballooning counterparty exposures and margin calls, forced sell-off of assets at deep discounts, etc. Though useful as a “first line of defense,” parametric VaR is not enough since it fails to take these knock-on effects into account—it is reactive in nature and deficient in measuring the full scope of portfolio risk.
Today’s risk professional must utilize a diverse range of techniques to manage risk, including:
- Value-at-Risk (VaR)
- Stress tests
- Historical simulation
- Empirical distribution
- Monte Carlo simulation
- Various real-time analytics
Download the full report contributed by Dr. Lance Smith, CEO of Imagine Software
You can visit Imagine Software’s stand at the Brasil Investment Summit in May, where they will be exhibiting.
