|
Financial
Risk Management:The Big and the Small
--Peter
R Crabb
This
paper looks at the question of Financial Risk Management
for small businesses. The discussion includes both the economic
motives for Financial Risk Management, and the use of derivatives
in Financial Risk Management. An argument for the use of
derivatives at small firms is put forth by showing how the
best practices in Financial Risk Management found at large
firms, can be put in place at small businesses as well.
©
2003 Peter R Crabb (www.huebnergeneva.org). Reprinted with
permission.
Credit
Risk Modeling and Valuation: An Introduction
--Kay
Giesecke
Credit
risk is the distribution of financial losses due to unexpected
changes in the credit quality of a counterparty in a financial
agreement. We review the structural, reduced form and incomplete
information approaches to estimating joint default probabilities
and prices of credit sensitive securities.
©
2004 Kay Giesecke (www.orie.cornell.edu). This article was
first published in Credit Risk: Models and Management,
Volume 2. Reprinted with permission.
Approximations
for the Value-at-Risk Approach to Risk-Return Analysis --Dirk
Tasche and Luisa Tibiletti
An
evergreen debate in Finance concerns the rules for making
portfolio hedge decisions. A traditional tool proposed in
the literature is the well-known standard deviation-based
Sharpe Ratio, which has been recently generalized in order
to also involve other popular risk measures r, such as VaR
(Value-at-Risk) or CVaR (Conditional Value-at-Risk). This
approach gives the correct choice of portfolio selection
in a mean-r world as long as r is homogeneous of order 1.
But, unfortunately, in important cases calculating the exact
incremental Sharpe Ratio for ranking profitable portfolios
turns out to be computationally too costly. Therefore, more
easy-to-use rules for a rapid portfolio selection are needed.
The research in this direction for VaR is the aim of the
paper.
©
2004 Dirk Tasche and Luisa Tibiletti (http://papers.ssrn.com).
Reprinted with permission.
Currency
Risk Management at Microsoft
--Sharath
Jutur
Risk
is omnipresent and corporates are no exception. Companies
face a wide range of risks. This article allows the readers
to get access to the entire risk management mechanism at
the Microsoft. The article also presents a conceptual note
on VaR (Value at Risk), a risk measurement mechanism used
by Microsoft. The article also deals with the customized
mechanism designed by Microsoft using options and forwards
contracts to reduce its foreign exchange risk.
©
2004 IUP. All Rights Reserved.
|
