Portfolio Risk Management

Paper Summary:

This paper discusses and analyzes portfolio risk management techniques such as performance analysis, value-at-risk models, stress testing, Monte Carlo simulation and heuristic controls. Included in the discussion of each technique is a look at their strength and weaknesses.

Table of Contents
Performance Analysis
Value-at-Risk (VaR) Model
Stress Testing
Monte Carlo Simulation
Heuristic Controls
Conclusion

From the Paper:

"In today's competitive banking environment, an important challenge is to ensure adequate diversification of revenue sources across products, market segments and market and credit risks (Sturzinger). Banks must assess their risk appetite and risk capacity as basic components of the budgeting and planning processes and identify their vulnerabilities through risk management techniques."

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• Dissertation or Thesis # 107805 : "Modeling Interest Rate Risk Management"

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