금융학 금융기관의 운영리스크 관리(영문)

금융학 금융기관의 운영리스크 관리(영문)

[금융학] 금융기관의 운영리스크 관리(영문).pptx

목차 INTRODUCTION Ⅰ. The Background adopted VaR MAIN SUBJECT Ⅰ. Types of Risk Ⅱ. The Definition of VaR Ⅲ. Interpretation of VaR Ⅳ. How to measure VaR 1) Determination by Simulation ① Historical Simulation ② Monte Carlo Simulation 2) Determination by Model ① Analytical Variance-Covariance (DELTA-NORMAL) Ⅴ. Annual Reports of KB Bank CONCLUTION Ⅰ. The Limitation of VaR and improvement 본문 II. The Definition of VaR Value at Risk (VaR) Maximum loss not exceeded with a given probability defined as the confidence level, over a given period of time. III. Interpretation of VaR The Question Being Asked in VaR "What loss level is such that we are X % confident it will not be exceeded in N business days?" Confidence Level Probability that Portfolio Price is in Certain Range When Confidence Level rises up, VaR also rises up! 키워드 금융기관, 리스크, 금융학, 운영리스크