Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [20]

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Bullet points include: Tracking error (volatility of return): Drawdown Expected shortfall (ES): increasing focus, see e.g. BCBS (2012) Expected Policyholder Deficit (EPD), where Ix<W = 1 if x<W and 0 otherwise: Expected value of worst outcome out of M (non-overlapping) realisations (where x(1) is lowest value of x1, ..., xM)

Bullet points include: Tracking error (volatility of return): Drawdown Expected shortfall (ES): increasing focus, see e.g. BCBS (2012) Expected Policyholder Deficit (EPD), where Ix<W = 1 if x<W and 0 otherwise: Expected value of worst outcome out of M (non-overlapping) realisations (where x(1) is lowest value of x1, ..., xM)

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