Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [96]

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Bullet points include: Logic of matching illiquid liabilities with illiquid assets predicated on assumption that the firm is a hold-to-maturity investor But LGD relates to situations where the firm has typically lost its ability to hold-to-maturity VaR based approaches will thus miss this subtlety TVaR based approaches (if properly implemented) shouldn’t

Bullet points include: Logic of matching illiquid liabilities with illiquid assets predicated on assumption that the firm is a hold-to-maturity investor But LGD relates to situations where the firm has typically lost its ability to hold-to-maturity VaR based approaches will thus miss this subtlety TVaR based approaches (if properly implemented) shouldn’t

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