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Using Pakistan Risk…

Warning: Technical Marketing Plug read at your own risk…

In a response to question about what exactly would someone do with Pakistan Risk Review other than using it as an expensive paper weight, this post was drafted. I possibly need to write a book to explain the terminology, if you are not a risk professional; but no issues, feel free to ask and I will try my best to answer.

Risk

  1. Establishing the top 50 most liquid securities in capital markets
  2. Calculating holding period returns including dividends and corporate actions
  3. Tracking risk and volatility numbers using 60 day moving averages
  4. Value at Risk estimates for margin and securities lending business
  5. Projected worst and best case ranges for interest rates, foreign exchange, commodities and listed securities
  1. Quantifying risk and reward relationships for local portfolio choices
  2. Recording credit spreads between KIBOR and Treasury rates

Calibration and validation

  1. Independent and external validation for market movement drivers and risk factors including alpha and beta
  2. Calibration and benchmarking internal risk models used for capital charge and capital allocation calculations
  3. Contextual and background data for Internal Capital Adequacy (ICAAP) assessment reports
  4. Volatility estimates and option premiums for interest rates and foreign exchange currency pairs
  5. Documenting historical correlations between domestic performance and international commodity prices

Policy & Limits

  1. Creating market risk limits based on Value at Risk estimates
  2. Determining numerical basis for policy formulation
  3. Measuring risk which cannot be mitigated through diversification

Performance

  1. Measuring performance of equity portfolios with respect to benchmark index
  2. Establishing input parameters for Capital Asset Pricing Model
  3. Calculating the expected impact of “beyond worse case” scenarios on portfolios
  4. Comparing Risk Adjusted Returns across different funds (or groups of funds)
  5. Monitoring of market exposures and benchmarking yourself against market averages