Market Risk Management at ABN AMRO
| Case Code: FINA022 Case Length: 10 Pages Period: - Pub Date: 2005 Teaching Note: Not Available |
Price: Rs.300 Organization: - Industry: Banking & Financial Services Countries:Netherlands Themes: Market Risk Management |
Abstract Case Intro 1 Excerpts
Excerpts
Market Risk Management
Market Risk contained three major functions: Market Risk Management, Market Risk Policy, and Market Risk Reporting & Control. Market Risk Management (MRM) ensured that the authority delegated by the Group Asset Management and Liability Committee (ALCO) and Group Risk Committee (GRC) with regard to market risk resulting from the bank's trading activities was exercised effectively, and that exposures were efficiently monitored and managed. MRM limited and monitored the potential impact of specific pre-defined market movements on the profit & loss of trading positions...
Asset and Liability Management
Interest Rate Risk
One of GALM's core objectives was to manage the sensitivity of the bank's net interest revenue to changes in market interest rates. Group ALCO set limits to ensure that the potential adverse impact of market movements on trading and non-trading earning was closely controlled...
Exhibits
Exhibit 1: Revenues in 2004 per SBU in %
Exhibit 2: Total Revenue
Exhibit 3: Financial Highlights
Exhibit 4: Risk Governance Organizational Structure
Exhibit 5: VaR per Risk Category
Exhibit 6: VaR V/s Hypothetical Profit & Loss for Trading Portfolios for 2004
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