List of Exhibits

Chapter 0: Preface

Exhibit 1.1: A hierarchy of market risk limits is illustrated for a hypothetical trading unit. A risk metric VaR, delta, etc. is chosen. Risk limits are specified for the portfolio and subportfolios based upon this. The limits are depicted with cylinders. The height of each cylinder corresponds to the size of the limit. The degree to which it is shaded black indicates current utilization of the limit. Fractions next to each cylinder indicate utilization and limit size. Units are not indicated here, as these will depend upon the particular risk metric used. Individual traders have limits, but only those for traders on desk A are indicated in the exhibit.
Exhibit 1.2: Characteristics of stop-loss, exposure, and VaR limits are compared. See the text for clarifications of specific issues.
Exhibit 1.3: The market value (measured in USD 1000s) of Leavens' bond portfolio has a binomial distribution with parameters 10 and 0.9.
Exhibit 1.4: Thirty weekly historical prices for the indicated metals. All prices are in USD per ton. Source: London Metals Exchange (LME).
Exhibit 1.5: Two months of historical data for the GBP/AUD exchange rate and AUD prices for the indicated stocks. None of the stocks had ex-dividend dates during the period indicated. Source: Federal Reserve Bank of Chicago and Dow Jones.
Exhibit 1.6: Results of the Monte Carlo analysis.
Exhibit 1.7: Histogram of realizations ¹ P ^{[ k]} of the portfolio's value

< Previous Excerpt

Purchase This Book