Modelling market risk with SAS Risk Dimensions : a step by step implementation

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dc.contributor.advisorConradie, W. J.
dc.contributor.authorDu Toit, Carlen_ZA
dc.contributor.otherUniversity of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
dc.date.accessioned2008-07-08T10:29:03Zen_ZA
dc.date.accessioned2010-07-09T11:11:17Z
dc.date.available2008-07-08T10:29:03Zen_ZA
dc.date.available2010-07-09T11:11:17Z
dc.date.issued2005-03en_ZA
dc.descriptionThesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2005.
dc.description.abstractFinancial institutions invest in financial securities like equities, options and government bonds. Two measures, namely return and risk, are associated with each investment position. Return is a measure of the profit or loss of the investment, whilst risk is defined as the uncertainty about return. A financial institution that holds a portfolio of securities is exposed to different types of risk. The most well-known types are market, credit, liquidity, operational and legal risk. An institution has the need to quantify for each type of risk, the extent of its exposure. Currently, standard risk measures that aim to quantify risk only exist for market and credit risk. Extensive calculations are usually required to obtain values for risk measures. The investments positions that form the portfolio, as well as the market information that are used in the risk measure calculations, change during each trading day. Hence, the financial institution needs a business tool that has the ability to calculate various standard risk measures for dynamic market and position data at the end of each trading day. SAS Risk Dimensions is a software package that provides a solution to the calculation problem. A risk management system is created with this package and is used to calculate all the relevant risk measures on a daily basis. The purpose of this document is to explain and illustrate all the steps that should be followed to create a suitable risk management system with SAS Risk Dimensions.en_ZA
dc.identifier.urihttp://hdl.handle.net/10019.1/3483
dc.language.isoenen_ZA
dc.publisherStellenbosch : University of Stellenbosch
dc.rights.holderUniversity of Stellenbosch
dc.subjectRisk management -- Statistical methodsen
dc.subjectFinancial institutions -- Risk management -- Statistical methodsen
dc.subjectSAS Risk dimensionsen
dc.subjectDissertations -- Statistics and actuarial scienceen
dc.subjectTheses -- Statistics and actuarial scienceen
dc.subjectAssignments -- Statistics and actuarial scienceen
dc.titleModelling market risk with SAS Risk Dimensions : a step by step implementationen_ZA
dc.typeThesisen_ZA
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