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A Portfolio Approach to Improving Market and Credit Risk Management
Company: University of the Free State
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: February
Pages: 162
Download Count: 11
View Count: 1806
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 1-10-2011
Publisher: Administrator
The first problem examines the assumption of normally distributed portfolio returns. Compelling evidence for the consistent failure of this assumption is provided. A measure for ranking portfolio performance is discussed and explained with reference to several South African hedge fund portfolios.
The second of these problems explores the assumption of unlimited liquidity in market risk measurement models. This assumption has been shown to be utterly fallacious and indeed, is now believed to be the principal component of the credit crisis. A new portfolio market risk model, which incorporates the effect of severely diminished liquidity, is introduced and applied to several South African market portfolios. The results indicate a substantially improved model of market risk.
The third problem probes the effect of obligor default quality discrimination to address a subtle discrepancy in the BCBS's formulation for credit portfolio capital charges. The cause of this discrepancy is located and its effects discussed with far reaching consequences for retail loan portfolios.
Finally, the lack of a robust technique to extract retail asset
Botha, Marius Sign in to follow this author
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