Categorization of risksInternal fraudExternal fraudEmployment practices and workplace safetyClients, products and business practicesDamage to physical assetsBusiness disruption and system failuresExecution, delivery and process management6RiskManagementandFinancialInstitutions3e,Chapter20,CopyrightJohnC.Hull2012
Risk Management and Financial Institutions 3e, Chapter 20, Copyright © John C. Hull 2012 Categorization of risks ⚫ Internal fraud ⚫ External fraud ⚫ Employment practices and workplace safety ⚫ Clients, products and business practices ⚫ Damage to physical assets ⚫ Business disruption and system failures ⚫ Execution, delivery and process management 6
The Task Under AMA Banks need to estimate their exposure toeach combination of type of risk andbusiness lineldeally this will lead to 7 X 8=56 VaRmeasures that can be combined into anoverall VaR measure7RiskManagementandFinancialInstitutions3e,Chapter20,CopyrightJohnC.Hull2012
Risk Management and Financial Institutions 3e, Chapter 20, Copyright © John C. Hull 2012 The Task Under AMA ⚫ Banks need to estimate their exposure to each combination of type of risk and business line ⚫ Ideally this will lead to 7×8=56 VaR measures that can be combined into an overall VaR measure 7