Finance 3.0 - Social Network for Finance
Smart financial thinking
How much risk? What is your appetite?
In my course in KL we are discussing how much risk risk we should advise the Board (of a company, a fund manager, a govt agency etc) to take? How do we determine their appetite for risk? How much is too much? How much is too little? Yes this is a personal question... yes it is tough.... but we have to advise.
How should we do this? What should we look for.... I would be most interested in how people tackle this issue.
Replies to This Discussion
-
Permalink Reply by Johnni on -
Illiquidity..one of my favourite subjects!
There are methods to back-out autocorrelation in "stale priced" assets. Most cited method is from Getmansky et al. (http://ideas.repec.org/p/nbr/nberwo/9571.html).
The illiquidity adjustment affect also the higher moments, but mainly the variance.
Once you have the adjusted returns, you may use any modified VaR flavour, to accommodate higher moments
Look at my blog here, for an example on distressed HFs.
http://johnninielsen.wordpress.com/2008/12/18/another-distressed-de...
http://johnninielsen.wordpress.com/2008/12/17/stale-pricing-paramet...
-
Permalink Reply by Brent Wheeler on -
Ok... and thanks for the refs. I have had a look. And am now thinking. The issue though seems to be that you have to find the willing buyer - and in sufficient quantities. You may have covered this. I shall ponder.
- ‹ Previous
- 1
- 2
- Next ›
Sign in
Badge
Continuing Education
 |
Accounting |
 |
Banking Regulations |
 |
Certification Training |
 |
Commercial Bank Management |
 |
Corporate Finance & Valuation |
 |
Treasury Management |
 |
Credit Risk Management |
 |
Financial Derivatives |
 |
Financial Institution Management |
 |
Financial Markets |
 |
Financial Modeling |
 |
Financial Planning |
 |
Market Risk Management |
 |
Operational Risk Management |
 |
Operations & Compliance |
 |
Quantitative Analysis |
 |
Strategic Financial Management |
Newsletter
Linkedin
RSS
Facebook
Widgets
Twitter© 2010 Created by Finance 3.0
