IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Risk Appetite in Practice: Vulgaris Mathematica

  • Bertrand K. Hassani

    ()

    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne)

Registered author(s):

    The ultimate goal of risk management is the generation of efficient incomes. The objective is to generate the maximum return for a unit of risk taken or to minimise the risk taken to generate the return expected i.e. it is the optimisation of a financial institution strategy. Therefore, by measuring its exposure against its appetite, a financial institution is assessing its couple risk-return. But this taskk may be difficult as banks face various types of risks, for instance, Operational, Market, Credit, Liquidity, etx. and these cannot be evaluated on a stand alone basis, interaction and contagion effects should be taken into account. In this paper, methodologies to evaluate banks' exposures are presented along their management implications, as the purpose of the risk appetite evaluation process is the transformation of risk metrics into effective management decisions.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://halshs.archives-ouvertes.fr/docs/01/02/02/93/PDF/14037.pdf
    Download Restriction: no

    Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-01020293.

    as
    in new window

    Length:
    Date of creation: Apr 2014
    Date of revision:
    Handle: RePEc:hal:cesptp:halshs-01020293
    Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-01020293
    Contact details of provider: Web page: http://hal.archives-ouvertes.fr/

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
    2. Dominique Guegan & Bertrand K. Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions," Documents de travail du Centre d'Economie de la Sorbonne 13034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    4. Dominique Guegan & Pierre-André Maugis, 2008. "New prospects on vines," Documents de travail du Centre d'Economie de la Sorbonne b08095, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2010.
    5. Dominique Guegan & Bertrand K. Hassani, 2011. "Operational risk: A Basel II++ step before Basel III," Documents de travail du Centre d'Economie de la Sorbonne 11053rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2012.
    6. repec:hal:journl:halshs-00348884 is not listed on IDEAS
    7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    8. Kjersti Aas & Daniel Berg, 2009. "Models for construction of multivariate dependence - a comparison study," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 639-659.
    9. Dominique Guegan & Bertrand K Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Documents de travail du Centre d'Economie de la Sorbonne 14008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    10. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    11. repec:hal:journl:halshs-00639484 is not listed on IDEAS
    12. Dominique Guegan & Bertrand Hassani, 2009. "A modified Panjer algorithm for operational risk capital calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00443846, HAL.
    13. repec:hal:journl:halshs-00443846 is not listed on IDEAS
    14. Dominique Guegan & Bertrand Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00820839, HAL.
    15. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    16. Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    17. repec:hal:wpaper:halshs-00722029 is not listed on IDEAS
    18. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00951593, HAL.
    19. Niall Whelan, 2004. "Sampling from Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 339-352.
    20. Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00969242, HAL.
    21. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-01020293. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.