Financial Risk Management

Best Practices Report Following P. Jorion, Financial Risk Management Chapter 26

Daniel HERLEMONT

G-30 Report
Private, non profit organization after disasters on derivatives in the early 1990s
24 sound management practices  Role of senior management  Marking to market  Market Valuation Methods  Identifying Revenue Source  Measuring Market Risk  Stress Simulations  Investing and Funding Forecasts  Independent Market Risk Management  Practices by End Users Daniel HERLEMONT

Page 1 1

G-30 Report  Measuring Credit Exposure  Aggregating Credit  Independent Credit Risk Management  Master Agreements  Credit Enhancement  Promoting Enforceability  Professional Expertise  Systems  Authority

Daniel HERLEMONT

Bank of England Report on Barings


Duty to understand
Clear Responsibility
Relevant Internal Control
Quick Resolution and Weaknesses

Daniel HERLEMONT

Page 2 2

CRMPG report on LCTM
Information Sharing
Confidentiality
Leverage, Market Risk and Liquidity
Risk Management Expertise
Liquidation Based Estimates of Exposure
Stress testing
Collateralization
Valuation and Exposure Management
Management Responsibilities
Large Exposure / Risk Reporting
Concentration Analysis
Contextual Information Daniel HERLEMONT

Page 3 3