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# 数学代写|风险管理代写Risk Management代考|FINC2007 Structuring and Managing the Risk Management Function in a Bank

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## 数学代写|风险管理代写Risk Management代考|Structuring and Managing the Risk Management Function in a Bank

If they are to measure, price, and control risk in a comprehensive manner, financial institutions must establish appropriate firm-wide policies, and develop relevant firm-wide risk methodologies that are coupled to a firm-wide risk management infrastructure. This chapter provides an integrated framework for just such an approach to risk management, in the context of best-practice risk management.
An important component of integrated risk management is the measurement and management of all the firm’s risk in terms of a common measurement unit and strategy. The risks that need to be covered include trading market risk, corporate treasury gap market risk, liquidity risk, credit risk in the trading book, credit risk in the banking book, and operational risk. (Section 5 of this chapter offers a treatment of gap market risk and liquidity risk; other chapters of this book offer in-depth discussions of credit, market, and operational risk.)
Risk integration offers all sorts of benefits. For example, financial institutions can combine the measurement of trading market risk and gap market risk to ensure that market risk is covered completely and consistently. It also allows institutions to rationalize their approach to market and credit risk measurement. For example, trading market risk and credit risk can be assessed from the same market value distribution, taken at selected points in time over the life of a transaction.
What do we mean by best-practice risk management? Best-practice risk management philosophy can be envisioned along the arrow of Figure 3.1. The ultimate objective is to manage risks actively in a portfolio context. First, a limit management process is needed to help identify and select those risks that the firm is willing to take. A process to monitor closely the risks that are retained in the books is also required.

Financial institutions need to implement best-practice risk analysis and risk measurement to capture accurately their risk exposures. This is the purpose of the market and credit value-at-risk (VaR) models we discuss in later chapters, which should be implemented for all trading businesses. Risk analysis should be complemented by stress testing and scenario analysis to assess the extent of potential losses during exceptional market crises.

## 数学代写|风险管理代写Risk Management代考|Organizing the Risk Management Function: Three-Pillar Framework

Today, it is relatively unusual to find sophisticated risk literate organizations with a decentralized risk management structure, where risk is managed to a minimum standard and risk assessment remains under the direct control of risk takers.

Firms understand that they need to establish a risk management function that is independent of direct risk takers. But at many firms senior managers need to encourage risk takers and risk managers to accelerate their efforts toward establishing a more uniform and sophisticated risk management framework.

Such a framework can be benchmarked in terms of policies, methodologies, and infrastructure (Figure 3.2). The bank needs to develop best-practice policies (e.g., price risk authorities for the trading book, credit risk authorities for the loan book), best-practice methodologies (e.g., market and credit value-at-risk, stress The independent first-class active management of risk, as shown in the center of Figure $3.2$, includes the capability to attribute capital, to appropriately price risk, and to actively manage the portfolio of residual risks.

# 风险管理代写

## 数学代写|风险管理代写风险管理代考|组织风险管理功能:三支柱框架

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## MATLAB代写

MATLAB 是一种用于技术计算的高性能语言。它将计算、可视化和编程集成在一个易于使用的环境中，其中问题和解决方案以熟悉的数学符号表示。典型用途包括：数学和计算算法开发建模、仿真和原型制作数据分析、探索和可视化科学和工程图形应用程序开发，包括图形用户界面构建MATLAB 是一个交互式系统，其基本数据元素是一个不需要维度的数组。这使您可以解决许多技术计算问题，尤其是那些具有矩阵和向量公式的问题，而只需用 C 或 Fortran 等标量非交互式语言编写程序所需的时间的一小部分。MATLAB 名称代表矩阵实验室。MATLAB 最初的编写目的是提供对由 LINPACK 和 EISPACK 项目开发的矩阵软件的轻松访问，这两个项目共同代表了矩阵计算软件的最新技术。MATLAB 经过多年的发展，得到了许多用户的投入。在大学环境中，它是数学、工程和科学入门和高级课程的标准教学工具。在工业领域，MATLAB 是高效研究、开发和分析的首选工具。MATLAB 具有一系列称为工具箱的特定于应用程序的解决方案。对于大多数 MATLAB 用户来说非常重要，工具箱允许您学习应用专业技术。工具箱是 MATLAB 函数（M 文件）的综合集合，可扩展 MATLAB 环境以解决特定类别的问题。可用工具箱的领域包括信号处理、控制系统、神经网络、模糊逻辑、小波、仿真等。