This repository has been archived by the owner on Nov 14, 2023. It is now read-only.
-
Notifications
You must be signed in to change notification settings - Fork 1
/
RMIM-3-var-and-risk-budgeting-in-investment-management.html
124 lines (97 loc) · 4.71 KB
/
RMIM-3-var-and-risk-budgeting-in-investment-management.html
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
<!doctype html>
<html lang="en">
<head>
<meta charset="utf-8">
<title>Risk Management and Investment Management | Chapter 3 | VaR and Risk Budgeting in Investment Management</title>
<meta name="description" content="Financial Risk Manager Part 2 Study Materials">
<meta name="author" content="MacLane Wilkison">
<meta name="apple-mobile-web-app-capable" content="yes" />
<meta name="apple-mobile-web-app-status-bar-style" content="black-translucent" />
<meta name="viewport" content="width=device-width, initial-scale=1.0, maximum-scale=1.0, user-scalable=no">
<link rel="stylesheet" href="css/reveal.min.css">
<link rel="stylesheet" href="css/theme/default.css" id="theme">
<!-- For syntax highlighting -->
<link rel="stylesheet" href="lib/css/zenburn.css">
<!-- If the query includes 'print-pdf', use the PDF print sheet -->
<script>
document.write( '<link rel="stylesheet" href="css/print/' + ( window.location.search.match( /print-pdf/gi ) ? 'pdf' : 'paper' ) + '.css" type="text/css" media="print">' );
</script>
<!--[if lt IE 9]>
<script src="lib/js/html5shiv.js"></script>
<![endif]-->
</head>
<body>
<div class="reveal">
<!-- Any section element inside of this container is displayed as a slide -->
<div class="slides">
<section>
<h1>Chapter 3</h1>
<h3>VaR and Risk Budgeting in Investment Management</h3>
<p>
<small>Created for <a href="http://alchemistsacademy.com">Alchemists Academy</a> by <a href="http://alchemistsacademy.com/about">MacLane Wilkison</a></small>
</p>
</section>
<section>
<h2>Risk Budgeting</h2>
<p><em>Definition: The process of allocating and managing risk using a top-down approach to different aspects of the investment process</em></p>
</section>
<section>
<h2>Risk Management for Sell- and Buy-Sides</h2>
<img src="images/RMIM3/risk-management-for-the-sell-and-buy-sides.png" alt="risk management for the sell and buy sides" />
</section>
<section>
<h2>Two Step Investment Process</h2>
<ol>
<li>Asset-allocation</li>
<ul>
<li>Typically based on mean-variance portfolio optimization</li>
<li>Determines amount to be invested in various asset classes</li>
<li>Relies on benchmarks/passive indices that represent feasible investment strategies</li>
</ul>
<li>Delegate management to selected active managers</li>
</ol>
</section>
<section>
<h2>Investment Management Risks</h2>
<ul>
<li>Absolute risk - risk of a dollar loss over the horizon</li>
<li>Relative risk - risk of a dollar loss in a fund relative to its benchmark</li>
<li>Policy-mix risk - risk of a dollar loss owing to the policy mix selected by the fund</li>
<li>Active-management risk - risk of a dollar loss owing to the total deviations from the policy mix</li>
<li>Funding risk - risk that the value of assets will not sufficiently cover the liabilities of a fund</li>
<li>Cash flow risk - risk of year-to-year fluctuations in contributions to a fund</li>
<li>Economic risk - risk of variation in total economic earnings of a plan's sponsor</li>
</ul>
</section>
<section>
<h1>THE END</h1>
<h3><a href="http://alchemistsacademy.com">AlchemistsAcademy.com</a></h3>
</section>
</div>
</div>
<script src="lib/js/head.min.js"></script>
<script src="js/reveal.min.js"></script>
<script>
// Full list of configuration options available here:
// https://github.com/hakimel/reveal.js#configuration
Reveal.initialize({
controls: true,
progress: true,
history: true,
center: true,
theme: Reveal.getQueryHash().theme, // available themes are in /css/theme
transition: Reveal.getQueryHash().transition || 'default', // default/cube/page/concave/zoom/linear/fade/none
// Optional libraries used to extend on reveal.js
dependencies: [
{ src: 'lib/js/classList.js', condition: function() { return !document.body.classList; } },
{ src: 'plugin/markdown/showdown.js', condition: function() { return !!document.querySelector( '[data-markdown]' ); } },
{ src: 'plugin/markdown/markdown.js', condition: function() { return !!document.querySelector( '[data-markdown]' ); } },
{ src: 'plugin/highlight/highlight.js', async: true, callback: function() { hljs.initHighlightingOnLoad(); } },
{ src: 'plugin/zoom-js/zoom.js', async: true, condition: function() { return !!document.body.classList; } },
{ src: 'plugin/notes/notes.js', async: true, condition: function() { return !!document.body.classList; } }
// { src: 'plugin/remotes/remotes.js', async: true, condition: function() { return !!document.body.classList; } }
]
});
</script>
</body>
</html>