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Financial risk management

Financial risk management is the practice of protecting economic value in a firm by managing exposure to financial risk - principally operational risk, credit risk and market risk, with more specific variants as listed aside. As for risk management more generally, financial risk management requires identifying the sources of risk, measuring these, and crafting plans to address them. See for an overview. Financial risk management as a "science" can be said to have been born with modern portfolio theory, particularly as initiated by Professor Harry Markowitz in 1952 with his article, "Portfolio Selection"; see . The discipline can be qualitative and quantitative; as a specialization of risk management, however, financial risk management focuses more on when and how to hedge, often using financial instruments to manage costly exposures to risk. In the banking sector worldwide, the Basel Accords are generally adopted by internationally active banks for tracking, reporting and exposing operational, credit and market risks. Within non-financial corporates, the scope is broadened to overlap enterprise risk management, and financial risk management then addresses risks to the firm's overall strategic objectives. In investment management risk is managed through diversification and related optimization; while further specific techniques are then applied to the portfolio or to individual stocks as appropriate. In all cases, the last "line of defence" against risk is capital, "as it ensures that a firm can continue as a going concern even if substantial and unexpected losses are incurred". Neoclassical finance theory - i.e., financial economics - prescribes that a firm should take on a project if it increases shareholder value. Finance theory also shows that firm managers cannot create value for shareholders or investors by taking on projects that shareholders could do for themselves at the same cost; see Theory of the firm and Fisher separation theorem. There is therefore a fundamental debate relating to "Risk Management" and shareholder value.

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Exercices associés (24)

Rebond de 2 balles

Two balls of mass m₁ and m₂ are dropped with no initial speed, one above the other, from height h. We assume that the balls stay in contact throughout their drop until they bounce on the floor. The situation can be descriped as an elastice collision between ball m₁ and the floor, immediately followed by a collision between the two balls. The balls’ radii is negligible when compared to h. There is no air friction. Answer the following questions in two cases: 1) the collision between the two balls is elastic

Saut du saumon

The equation for uniformly accelerated rectilinear motion alone an x axis is $\ddot{x} = a ,$ where a is a constant. Show that its general solution is $x(t) = \frac{1}{2}at^2 + v_0t + x_0$ for any v₀ and x₀. Interpret these constants.
A salmon jumps out of a lake with initial velocity v₀ directed skywards. Gravity causes a constant acceleration u2005−u2005g on the fish. Represent graphically the fish’ vertical position as a function of time, as well as its speed as

Pendule perturbé par un ressort

A material point of mass m is restricted to move without friction along a vertical circle of radius R. It is subjected to two forces: its weight, and the force from a spring linking it to a fixed point F on the circle, at the same height as the circle’s center. The spring has spring constant k and null rest length.

Show that the material’s point potential energy as a function of θ is E_(pot)(θ)u2004=u2004u2005−u2005kR²cosu2006θu2005−u2005mgRsinu2006θu2005+u2005constant.
Show that the two e

James Bond en chute libre

James Bond escaped from a helicopter in stationary flight. He vertically falls in free fall, without friction. His friend must save his with her motorcycle. She starts from a ramp that points towards the direction of James Bond, hanging from the helicopter. She leaves the ramp with a velocity v₀ and at the same time James drops from the helicopter. Will Bond manage to land on the motorcycle? As it is James Bond, we guess that yes! Show that it is the case. We set the origin of the coordinate system at the

Le liévre et la tortue

A hare and a turtle race over a distance L. The turtle starts running at constant speed

v_{\rm t}

and the hare at constant speed

v_{\rm h}

. The hare is not taking this seriously, and so

v_{\rm h} < v_{\rm t}

. When the turtle reaches a bridge that stands at a distance L′u2004

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Notebooks associés (6)

Implementing a Fractional Resampler using Local Lagrange Interpolation

FIR Resampling[1]¶

                                      [2]Paolo Prandoni, [3]LCAV, EPFL

In this notebook we will implement a simple fractional resampler that uses local Lagrange interpolation. The resampler can be used to perform any rational sampling rate change (but beware of aliasing when downsampling!) In [1]: import numpy as np import IPython from scipy.io import wavfile Local Lagrange interpolation[4]¶ To perform resampling we will need to compute subsample values and, in

Modeling Epidemics with Signal Processing Techniques

Epidemics and Signal Processing[1]¶

                                      [2]Paolo Prandoni, [3]LCAV, EPFL

In [1]: import matplotlib.pyplot as plt import numpy as np import scipy.signal as sp import seaborn as sns sns.set() In [2]: plt.rcParams["figure.figsize"] = (14,4) The basic reproduction number[4]¶ The propagation mechanism of an epidemic such as the one caused by SARS-CoV-2 virus can be roughly modeled, at least in its inital phase, as a process in which each infected individ

Temperature Dependence of the Fermi-Dirac Distribution

This notebook serves to show how the Fermi-Dirac distribution and its derivative change with temperature.\n", " \n", "The Fermi-dirac distribution is

f(E)=\\frac{1}{e^{(E-\\mu)/k_bT}+1}

\n", "\n", "For the purpose of simplicity, we will plot the graph of

f(E-\\mu)

. This allows us to avoid complications connected with

\\mu

being a function of temperature (consult the other notebook for this week or section 2.2.3 in the notes for more details)\n", "\n", "We first define the r

Simulating Electron Motion in 2D Materials Using the Drude Model - Basic

Drude model considers electrons small solid particles traveling through lattices as a stationary array of heavier and bigger atoms. The model use "mean free time" as a measure of the frequency an electron gets scattered. This jupyter notebook makes use of this concept and uses stochastic method to simulat electrons traveling through a 2D material of finite width but infinite length."

"#### First we setup the simulation parameters such as the external electric field, number of electrons (default

Simulating Electron Motion in 2D Materials Using the Drude Model - Advanced

Drude model considers electrons small solid particles traveling through lattices as a stationary array of heavier and bigger atoms. The model use "mean free time" as a measure of the frequency an electron gets scattered. This jupyter notebook makes use of this concept and uses stochastic method to simulate electrons traveling through a 2D material of finite width but infinite length."

First we setup the simulation parameters such as the external electric field, number of electrons (default to 1)

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Notebooks associés (6)

Implementing a Fractional Resampler using Local Lagrange Interpolation

FIR Resampling[1]¶

                                      [2]Paolo Prandoni, [3]LCAV, EPFL

Modeling Epidemics with Signal Processing Techniques

Epidemics and Signal Processing[1]¶

                                      [2]Paolo Prandoni, [3]LCAV, EPFL

Temperature Dependence of the Fermi-Dirac Distribution

This notebook serves to show how the Fermi-Dirac distribution and its derivative change with temperature.\n", " \n", "The Fermi-dirac distribution is

f(E)=\\frac{1}{e^{(E-\\mu)/k_bT}+1}

\n", "\n", "For the purpose of simplicity, we will plot the graph of

f(E-\\mu)

. This allows us to avoid complications connected with

\\mu

being a function of temperature (consult the other notebook for this week or section 2.2.3 in the notes for more details)\n", "\n", "We first define the r

Simulating Electron Motion in 2D Materials Using the Drude Model - Basic

Drude model considers electrons small solid particles traveling through lattices as a stationary array of heavier and bigger atoms. The model use "mean free time" as a measure of the frequency an electron gets scattered. This jupyter notebook makes use of this concept and uses stochastic method to simulat electrons traveling through a 2D material of finite width but infinite length."

"#### First we setup the simulation parameters such as the external electric field, number of electrons (default

Simulating Electron Motion in 2D Materials Using the Drude Model - Advanced

Drude model considers electrons small solid particles traveling through lattices as a stationary array of heavier and bigger atoms. The model use "mean free time" as a measure of the frequency an electron gets scattered. This jupyter notebook makes use of this concept and uses stochastic method to simulate electrons traveling through a 2D material of finite width but infinite length."

First we setup the simulation parameters such as the external electric field, number of electrons (default to 1)

Afficher plus

Exercices associés (24)

Rebond de 2 balles

Saut du saumon

The equation for uniformly accelerated rectilinear motion alone an x axis is $\ddot{x} = a ,$ where a is a constant. Show that its general solution is $x(t) = \frac{1}{2}at^2 + v_0t + x_0$ for any v₀ and x₀. Interpret these constants.
A salmon jumps out of a lake with initial velocity v₀ directed skywards. Gravity causes a constant acceleration u2005−u2005g on the fish. Represent graphically the fish’ vertical position as a function of time, as well as its speed as

Pendule perturbé par un ressort

Show that the material’s point potential energy as a function of θ is E_(pot)(θ)u2004=u2004u2005−u2005kR²cosu2006θu2005−u2005mgRsinu2006θu2005+u2005constant.
Show that the two e

James Bond en chute libre

Le liévre et la tortue

A hare and a turtle race over a distance L. The turtle starts running at constant speed

v_{\rm t}

and the hare at constant speed

v_{\rm h}

. The hare is not taking this seriously, and so

v_{\rm h} < v_{\rm t}

. When the turtle reaches a bridge that stands at a distance L′u2004

Afficher plus

Financial risk management

Chattez avec Graph Search

Discount Curve Estimation Standalone to Transfer Learning

Evaluation of Temporary Bonding Techniques for Pfas-Free Polymer Integration in Mems Devices

Solar Resource Assessment And Snow-Informed Design of Alpine Photovoltaic Power Plants

First we setup the simulation parameters such as the external electric field, number of electrons (default to 1)

First we setup the simulation parameters such as the external electric field, number of electrons (default to 1)

Discount Curve Estimation Standalone to Transfer Learning

Evaluation of Temporary Bonding Techniques for Pfas-Free Polymer Integration in Mems Devices

Solar Resource Assessment And Snow-Informed Design of Alpine Photovoltaic Power Plants