Enterprise Risk Management Slides

Market Risk [29]

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Bullet points include: 2003 profits typically £20m - $40m per day, good days (c. 18) profits > $80m per day. 2008 saw 90 days profits above $100m, 36 days of losses above $100m. Var model exceptions. 2 days for whole of 2002-2005. 3, 10 and 13 for 2006, 2007, 2008 respectively. Fatter tails, return distributions shifted, liquidity effects ...?

Bullet points include: 2003 profits typically £20m - $40m per day, good days (c. 18) profits > $80m per day. 2008 saw 90 days profits above $100m, 36 days of losses above $100m. Var model exceptions. 2 days for whole of 2002-2005. 3, 10 and 13 for 2006, 2007, 2008 respectively. Fatter tails, return distributions shifted, liquidity effects ...?

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