Enterprise Risk Management Slides

Risk measures [13]

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Bullet points include: VaR may be broken into expected loss and unexpected loss. Where Q1-alpha is the (1-alpha)-quantile of the profit (loss) distribution. Some argue that banks should just need to hold capital equal to the unexpected loss on their portfolios, since the expected losses are offset by loan spreads over risk-free rates But can expectations change

Bullet points include: VaR may be broken into expected loss and unexpected loss. Where Q1-alpha is the (1-alpha)-quantile of the profit (loss) distribution. Some argue that banks should just need to hold capital equal to the unexpected loss on their portfolios, since the expected losses are offset by loan spreads over risk-free rates But can expectations change

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