Enterprise Risk Management Slides

Risk measures [5]

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Bullet points include: Equity orientated risk models: greater focus on Brownian motion. Bond orientated risk models: greater focus on jumps. Are portfolios of equities / bonds / both / other asset and liability types better characterised as: Diversified (multi-factor) exposures; or Concentrations primarily to single factors?

Bullet points include: Equity orientated risk models: greater focus on Brownian motion. Bond orientated risk models: greater focus on jumps. Are portfolios of equities / bonds / both / other asset and liability types better characterised as: Diversified (multi-factor) exposures; or Concentrations primarily to single factors?

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