Concepts beautifully visualized brick by brick.
  • HOME
  • RISK
    • RISK APPETITE
    • MARKET RISK
    • FRTB REGULATION
  • FINANCE
    • CAPITAL MARKETS
  • TECHNOLOGY
    • FINTECH
    • SERVICE DELIVERY
  • TWEETS
  • MUSINGS
  • ABOUT ME

Welcome!

Market Risk Portfolio Risk Mapping

2/13/2017

0 Comments

 
Risk identification begins with identifying risk factors in the portfolio as a first step. Positions are mapped to a small set of risk factors which is called as risk factor mapping. It depends on the number and type of instruments within the portfolio.
Risk Factors help pinpoint specific risk areas in the portfolio. Risk factors are uniquely driven by changes in specific macroeconomic factors like central bank policy actions which will impact interest rate risk factors.
This is also called as modeling risk by risk factors. Large number of deals are mapped to a smaller set of risk factors reducing the computing time for risk simulations. As an example in the illustration, Interest Rate, Currency and Equites risk factors are mapped for all the rates positions. If a portfolio contains 1000 Rates deals all of them can be mapped to the above 3 risk factors.
Comparable assets can also be used as proxy assets for modeling in cases where enough historical data is not available for positions or some OTC instrument that has no previous history.
See more details on  MARKET RISK.
Picture
0 Comments



Leave a Reply.

    Archives

    March 2017
    February 2017
    November 2016

    Categories

    All
    Market Risk
    Other
    Risk
    Risk Factors
    Visual Thinking

    Tweets by visualbricks

    RSS Feed

© COPYRIGHT 2018. ALL RIGHTS RESERVED.
  • HOME
  • RISK
    • RISK APPETITE
    • MARKET RISK
    • FRTB REGULATION
  • FINANCE
    • CAPITAL MARKETS
  • TECHNOLOGY
    • FINTECH
    • SERVICE DELIVERY
  • TWEETS
  • MUSINGS
  • ABOUT ME