Measuring and managing market, credit and Op risk [4]

Go to: Summary | Previous | Next   
Bullet points include: A definition of the value of the portfolio (adhering to suitable underlying axioms, particularly if the composition of the portfolio changes) A probability distribution characterising how this value might change through time More precisely, a set of distributions, one for each possible portfolio composition, that continue to respect the above axioms Ways of measuring risk (and reward) that summarise economically undesirable (and desirable) aspects of this probability distribution allowing quantification of an appropriate risk-reward trade-off Assumptions about economic rationality of participants involved in portfolio outcomes (including ourselves)

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile