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FNC-404
Instructor: Dr. Kumail Rizvi
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2011
2010
2010
2007
2003
2001
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KUMAIL RIZVI
PHD FROM PARIS 1 (PANTHON SORBONNE)
CFA
FRM
MSC MONEY BANKING AND FINANCE
MSC COMPUTER SCIENCES
MBECON (FINANCE)
EXPERIENCE
GIFT UNIVERSITY
HAILEY COLLEGE OF COMMERCE, PUNJAB UNIVERSITY
PAK AIMS
IBP (INSTITUTE OF BANKERS PAKISTAN)
PARIS 1 (PANTHON SORBONNE)
UNIVERSITY OF CENTRAL PUNJAB (UCP)
LAHORE SCHOOL OF ECONOMICS (LSE)
SYNERGISTIC FINANCIAL ADVISORS (SFA)
SPM CONSULTING, DUBAI
SAS
IBM (INTERNATIONAL BUSINESS MACHINES)
GBM (GULF BUSINESS MACHINES)
RISK
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Combination
Opportunity.
of
Danger
and
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RISK
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Misconception
continued,
spread virally and embraced
and accepted by QUANTS..
But what about events like
Russian Roulette??
INTRODUCTION
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INTRODUCTION
As an individual or a company engage in risk
activity like investment, different questions
arise:
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Kumail Rizvi, PhD, CFA, FRM
SOURCES OF RISK
To create competitive
advantage
To add shareholders
value
Includes:
Business decisions (e.g.,
investment, products,
org structures)
Business environment
(competition and macro
economy)
Losses due to
financial market
activities
For example:
For a non-financial
corporation, likely to
be non-core
Financial
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Business
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Financial Risk
Non-Financial Risk
IDENTIFYING RISK
IDENTIFYING RISK
Risk that an individual or corporation is exposed
to, take many different forms:
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FINANCIAL RISK
Market Risk
Including:
Credit Risk
Liquidity Risk
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MARKET RISK
Absolute risk
Relative risk
Basis risk
Volatility risk
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CREDIT RISK
Sovereign risk
Settlement risk
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LIQUIDITY RISK
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NON-FINANCIAL RISK
Operational Risk
includes:
Model Risk
People Risk
Legal Risk
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Business Risk
Includes:
Strategic Risk
Macroeconomic Risk
Political Risk
Regulatory risk
Tax Risk
Accounting Risk
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OPERATIONAL RISK
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BUSINESS RISK
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OTHER RISKS
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Market Risk
Credit Risk
Liquidity Risk
Operational Risk
MEASURING RISK
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VAR as Maximum:
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One traditional measure of liquidity risk is BidAsk Spread (for actively traded securities).
A new technique to measure liquidity risk is a
Liquidity-Adjusted VAR.
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Recovery
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