Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Risk appetite, risk appetite statement?

Ook bekend als: risk appetite · risk appetite statement

Definition 6.4 The Desk and the Firm · Hoofdstuk 6 — The Head of Desk’s Job

A firm’s risk appetite is the aggregate level and types of risk it is willing to take, within the maximum it could take given its capital, liquidity and obligations, to achieve its strategy and business plan. Its risk appetite statement is the written form: qualitative statements and quantitative measures relative to earnings, capital, risk and liquidity, which its risk limits then allocate to business lines, desks and risk types.

The risk-appetite cascade for the chapter’s desk: a loss tolerance becomes a volatility budget, which becomes a daily value-at-risk limit and a stop for each business, shared by volatility. $ millions; illustrative desk. Model: firm.deskplan.cascade.
Figure 6.2. The risk-appetite cascade for the chapter’s desk: a loss tolerance becomes a volatility budget, which becomes a daily value-at-risk limit and a stop for each business, shared by volatility. $ millions; illustrative desk. Model: firm.deskplan.cascade.
Lees in het hoofdstuk →