Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [91]

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Bullet points include: VaR: focuses on PD element alone TVaR: also takes into account LGD Markets (and some parts of existing regulatory frameworks) recognise the need to take into account LGD as well as PD when valuing and assessing the riskiness of a credit sensitive instrument Why don’t we therefore apply it to the whole portfolio?

Bullet points include: VaR: focuses on PD element alone TVaR: also takes into account LGD Markets (and some parts of existing regulatory frameworks) recognise the need to take into account LGD as well as PD when valuing and assessing the riskiness of a credit sensitive instrument Why don’t we therefore apply it to the whole portfolio?

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