Strategic Corporate Decision Making With Market and Liquidity Risk Management

2020 ◽  
pp. 307-318
Author(s):  
Mazin A. M. Al Janabi
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Liquidity Risk ◽  
Case Analysis ◽  
Management Model ◽  
Financial Trading ◽  
Risk Optimization ◽  
Testing Techniques ◽  
And Control ◽  
Risk Engine

This chapter examines a practical methodology for the assessment and control of market and liquidity risk exposures for financial trading portfolios that consist of certain equity assets. The applied technique is based on the contemporary concept of liquidity-adjusted value at risk (LVaR) along with the application of optimization risk-engine algorithms. This chapter proposes a broad market and liquidity risk management model that can concurrently perform LVaR estimation under regular and stressed market scenarios. It takes into account the effects of illiquidity of traded equity assets. In order to demonstrate the appropriate application of LVaR and stress-testing techniques, real-world case analysis of trading risk management are presented for the Gulf Cooperation Council (GCC) stock markets. To this end, a number of optimization case studies are examined with the aim of developing a novel technique of trading risk measurement as well as the implementation of a risk optimization process for the computation of the maximum permitted LVaR limits.

scholarly journals BANK LIQUIDITY RISK: ANALYSIS AND ESTIMATES

2012 ◽  
Vol 10 (2) ◽  
pp. 186-204 ◽  
Author(s):  
Meilė Jasienė ◽  
Jonas Martinavičius ◽  
Filomena Jasevičienė ◽  
Gražina Krivkienė
Keyword(s):  
Risk Management ◽  
Commercial Bank ◽  
Commercial Banks ◽  
Scientific Literature ◽  
Liquidity Risk ◽  
Management Model ◽  
Critical Elements ◽  
Banking Business ◽  
The Stability ◽  
Development Assessment

In today’s banking business, liquidity risk and its management are some of the most critical elements that underlie the stability and security of the bank’s operations, profit-making and clients confidence as well as many of the decisions that the bank makes. Managing liquidity risk in a commercial bank is not something new, yet scientific literature has not focused enough on different approaches to liquidity risk management and assessment. Furthermore, models, methodologies or policies of managing liquidity risk in a commercial bank have never been examined in detail either. The goal of this article is to analyse the liquidity risk of commercial banks as well as the possibilities of managing it and to build a liquidity risk management model for a commercial bank. The development, assessment and application of the commercial bank liquidity risk management was based on an analysis of scientific resources, a comparative analysis and mathematical calculations.

scholarly journals Risk assessment for ancillary services

2019 ◽  
Vol 9 (3) ◽  
pp. 1561
Author(s):  
Omer Hadzic ◽  
Smajo Bisanovic
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Power System ◽  
Value At Risk ◽  
Financial Risk ◽  
Risk Measures ◽  
Ancillary Services ◽  
Conditional Value At Risk ◽  
Risk Optimization ◽  
System Risk

The power trading and ancillary services provision comprise technical and financial risks and therefore require a structured risk management. Focus in this paper is on financial risk management that is important for the system operator faces when providing and using ancillary services for balancing of power system. Risk on ancillary services portfolio is modeled through value at risk and conditional value at risk measures. The application of these risk measures in power system is given in detail to show how to using the risk concept in practice. Conditional value at risk optimization is analysed in the context of portfolio selection and how to apply this optimization for hedging a portfolio consisting of different types of ancillary services.

Risk Management and Control from the BT Project of Government

2014 ◽  
Vol 644-650 ◽  
pp. 5623-5626
Author(s):  
Jun Shan Wang ◽  
Jun Hu Tang ◽  
Hui Wang
Keyword(s):  
Risk Management ◽  
Control Mechanism ◽  
Risk Control ◽  
Liquidity Risk ◽  
Control Measures ◽  
Project Risk ◽  
Schedule Risk ◽  
The Government ◽  
Project Risk Analysis ◽  
And Control

Based on the Government of BT project risk analysis, the main risks are guaranteed by law, decision-making risk, management risk, liquidity risk, project quality and schedule risk. It Propose to develop risk control measures, to establish risk control mechanism to ensure the orderly conduct of the project.

scholarly journals Portfolio liquidity-adjusted value-at-risk

2011 ◽  
Vol 11 (2) ◽  
pp. 203-216 ◽  
Author(s):  
Marius Botha
Keyword(s):  
At Risk ◽  
Risk Management ◽  
Value At Risk ◽  
Liquidity Risk ◽  
Credit Crunch ◽  
Financial Instruments ◽  
Contemporary Research ◽  
Statistical Assumptions ◽  
Key Drivers ◽  
Financial Liquidity

An important, yet neglected, aspect of risk management is liquidity risk; changes in value due to reduced availability of traded financial instruments. This ubiquitous risk has emerged as one of the key drivers of the developing “credit crunch” with global financial liquidity plummeting since the crisis began. Despite massive cash injections by governments, the crisis continues. Contemporary research has focussed on the liquidity component of single instruments’ value-at-risk. This work is extended in this article to measure portfolio value-at-risk, employing a technique which integrates individual instruments’ liquidity-adjusted VaR into a portfolio environment without a commensurate increase of statistical assumptions.

scholarly journals A Systemic Risk Management Model to Manage the Equipment Maintenance System in Oil and Gas Companies

2019 ◽  
Vol 281 ◽  
pp. 04005 ◽  
Author(s):  
Hany Khalil ◽  
Fouad Khalaf
Keyword(s):  
Risk Management ◽  
Systemic Risk ◽  
Oil And Gas ◽  
Management Model ◽  
Equipment Maintenance ◽  
Maintenance System ◽  
Equipment Failures ◽  
System Maintenance ◽  
And Control ◽  
The Impact

The risk management is significant when managing the equipment maintenance system (EMS) which is very important to maintain equipment operations and is fundamental for achieving business objectives. With the advent of risk-based thinking in industry, there was a need for introducing the risk culture within the organization, including maintenance, in order to reduce business losses. Analysis of equipment failures data showed a relation between the failures types with their consequences, and all interaction with system maintenance components. The ineffective maintenance system may cause multiple losses for the organization and therefore affects the whole business. This paper introduces a systemic risk management model to manage the maintenance system undesired events and control the impact on the organization and the consequences on business. Using systemic risk management model, the maintenance professional can manage the whole maintenance system through risk analysis, assessment, and management by creating the different risk scenarios to develop proper types of control.

scholarly journals Analisis Risiko Pembiayaan Bank Syariah

2019 ◽  
Vol 7 (2) ◽  
pp. 189
Author(s):  
Rahmat Ilyas
Keyword(s):  
Risk Management ◽  
Negative Impact ◽  
Liquidity Risk ◽  
Islamic Banks ◽  
Basic Tool ◽  
Reputation Risk ◽  
Excess Liquidity ◽  
And Control ◽  
Finance Risk

<p><em>Financing or financing is funding provided by one party to another party to support the planned investment, whether done alone or in an institution. Risk in the banking context is a potential event, both predictable and unpredictable that has a negative impact on bank income and capital. The main reason for the occurrence of credit risk is that banks are too easy to lend or invest because they are too required to take advantage of excess liquidity, so that credit assessments are less careful in anticipating various possible business risks that they finance. Risk management is needed to identify, measure and control various types of risk, because it becomes a very basic tool to support the sustainability of the bank's business. The type of risk management that is closely related to the role of DPS is reputation risk, which in turn has an impact on displaced commercial risk, such as liquidity risk and other risks. The function and role of DPS in Islamic banks has strong relevance to the risk management of Islamic banking, namely reputation risk, which in turn impacts other risks such as liquidity risk.</em><em></em></p>

scholarly journals Adoption of COBIT 5 Framework in Risk Management for Startup Company

2021 ◽  
Vol 12 (3) ◽  
pp. 1446-1452
Author(s):  
Yeni Kusumaningrum Et.al
Keyword(s):  
Risk Management ◽  
Internal Control ◽  
Small And Medium Enterprises ◽  
Management Model ◽  
Impact Categories ◽  
Machine Material ◽  
Requirements Definition ◽  
Risk Optimization ◽  
Startup Company ◽  
Medium Enterprises

The research method used is qualitative, where data collection is done by interviewing informants related to risk findings and identification of the root of the problem using fishbone analysis with category 6M (Man, Money, Machine, Material, Method, Measurement). The results of the identification of the root causes are included in the risk quadrant with the risk probability categories (high, medium, low) and risk impact categories (high, medium, low). After getting the data needed, the stages of creating a risk management model that is mapping the results of identifying the root causes with the COBIT 5 framework. The results of interviews related to the risks experienced by small and medium enterprises obtained as many as 19 risks and the results of fishbone analysis (identification of the root causes) obtained as many as 48 root causes, but this study took a quadrant I-VI with a total of 24 root causes. This research produces a risk management model in the form of COBIT 5 process that is in line with the root of the problem that occurs in small and medium-sized enterprises, namely EDM03 (Ensure Risk Optimization), APO12 (Manage Risks), BAI02 (Manage Requirements Definition), DSS05 (Manage Security Service) , MEA02 (Monitor, Evaluate and Assess the System of Internal Control).

MENGELOLA RESIKO DENGAN PRODUK DERIVATIF

2008 ◽  
Author(s):  
Dandes Rifa
Keyword(s):  
Risk Management ◽  
Value At Risk ◽  
Foreign Currency ◽  
Balance Sheet ◽  
Cash Flows ◽  
Market Risks ◽  
Hedging Strategies ◽  
Operational Hedging ◽  
Potential Risks ◽  
Derivative Products

The main objective of risk management is to minimize the potential for losses (risk) arising from unexpected changes in currency rates, credit, commodities and equities. One of the risks faced by companies is market risk (value at risk). This article aims to explain that risk management can be one of them by using derivative products. Derivative transactions is very useful for business people who want to hedge (hedging) against a commodity, which always experience price changes from time to time. There are three strategies that can be used to hedge the balance sheet hedging strategy, operational hedging strategies and contractual hedging strategies. Staregi contractual hedging is a form of protection that is done by forming a contractual hedging instruments in order to provide greater flexibility to managers in managing the potential risks faced by foreign currency. Most of these contractual hedging instrument in the form of derivative products. The management can enhance shareholder value by controlling risk. -Party investors and other interested parties hope that the financial manager is able to identify and manage market risks to be faced. If the value of the firm equals the present value of future cash flows, then risk management can be justified. 

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