Lehman Brothers
risk management integrated framework market risk measures the potential mark to market loss on all positions from adverse market moves we use historical simulations which are walk backs through time to determine what would have been the impact on today portfolio if we relived each day over the past four years we weight the data giving more weight to recent market moves while at the same time giving less weight to market moves further back in time this approach allows us to avoid making assumptions about distributions about diversification about relative risk factor weightings in order to determine the reasonableness of the market risk measures we do back testing comparing the market risk generated for the portfolio using the historical simulation approach to its actual trading | Lehman Brothers
Company
Deck Type
Sector
Industry
Deck date
August 2007
Slide
26 of 65
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