Quantifying Risk Appetite in Limit Setting
Date: Tuesday, November 3, 2015
Time: 8:00 am (San Francisco) / 11:00 am (New York) / 4:00 pm (London)
Moderator: Andy Condurache, Director of Research and Publications
Presenter: Dr. Amnon Levy, Managing Director of Portfolio and Balance Sheet Research is responsible for research and model development for Moody’s Analytics portfolio and balance sheet models. Dr. Levy has led several research initiatives, including modeling credit portfolio risk, integrated models for balance sheet management and liquidity risk.
Risk appetite is a concept that many firms have trouble quantifying and incorporating into their management activity. In addition to prudent business practices, there are very specific capital requirements around having a clear statement of risk appetite and incorporating it into business decision making.
- Overview of a number of approaches for setting risk- and macro scenario-based limits to quantify a risk appetite statement
- How risk-based limits with risk-based metrics align with an organization’s risk appetite
- Business applications and best practices for setting limits