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Valuation and Risk Metrics
Company: Committee of Chief Risk Officers
Company Url: Click here to open
Year Of Publication: 2002
Month Of Publication: November
Pages: 60
Download Count: 20301
View Count: 49290
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 11-21-2002
Publisher: Administrator
Summary
The Valuation and Risk White Paper provides comprehensive guidance to risk measurement challenges. The aim is to enhance business capabilities by providing process guidance for the internal management of risk within energy trading and hedging activities. The Committee's recommendations include details on risk and return metrics with alternative valuation techniques; fair value; "Value-at-Risk" (VaR), including a complete description of methodologies with pros and cons; an asset valuation framework for all asset types; and sensitivity analysis, scenario analysis and stress testing.
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