Knowledge (XXG)

Earnings at risk

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The benefits of CFaR and EaR for corporate risk management
824: 50:
respectively, and hence the risk to the institution's
538: 399: 364: 316: 228: 180: 173: 844: 147: 8: 851: 837: 177: 154: 140: 132: 91: 111:Interest rate risk – earnings at risk 7: 809: 807: 38:reflecting the potential impact of 823:. You can help Knowledge (XXG) by 819:This finance-related article is a 74:due to these. Both are calculated 25: 811: 429:Conditional Value-at-Risk (CVaR) 72:possible shortfalls in cash flow 885:Monte Carlo methods in finance 748:Strategic financial management 551:Asset and liability management 1: 58:. EaR measures the impact on 326:Operational risk management 125:, bloomsburycollections.com 916: 806: 498:Proportional hazards model 449:Interest rate immunization 781: 167:financial risk management 444:First-hitting-time model 409:Arbitrage pricing theory 875:Financial risk modeling 753:Stress test (financial) 459:Modern portfolio theory 70:; while CFaR measures 30:(EaR) and the related 791:Investment management 693:Investment management 419:Replicating portfolio 195:Sovereign credit risk 895:Financial management 870:Mathematical finance 796:Mathematical finance 728:Risk-return spectrum 718:Mathematical finance 673:Fundamental analysis 606:Exchange traded fund 190:Consumer credit risk 62:due to movements in 786:Financial economics 743:Statistical finance 509:Value-at-Risk (VaR) 414:Black–Scholes model 254:Holding period risk 60:net interest income 48:cash flow statement 890:Capital management 763:Structured product 758:Structured finance 738:Speculative attack 424:Cash flow matching 387:Non-financial risk 284:Interest rate risk 210:Concentration risk 832: 831: 804: 803: 576:Corporate finance 571:Capital structure 525:Cash flow at risk 521:Liquidity at risk 494:Survival analysis 395: 394: 341:Reputational risk 215:Credit derivative 54:and, ultimately, 32:cash flow at risk 18:Cash flow at risk 16:(Redirected from 907: 853: 846: 839: 815: 808: 678:Growth investing 596:Enterprise value 546:Asset allocation 529:Earnings at risk 511:and extensions ( 454:Market portfolio 318:Operational risk 303:Refinancing risk 178: 156: 149: 142: 133: 126: 123:Earnings at Risk 120: 114: 108: 102: 96: 76:under simulation 64:foreign exchange 56:return on equity 52:return on assets 44:income statement 28:Earnings at risk 21: 915: 914: 910: 909: 908: 906: 905: 904: 860: 859: 858: 857: 805: 800: 777: 713:Systematic risk 611:Expected return 591:Economic bubble 586:Diversification 581:Cost of capital 534: 391: 360: 312: 294:Volatility risk 258:Price area risk 224: 200:Settlement risk 169: 160: 130: 129: 121: 117: 109: 105: 101:, bloomberg.com 97: 93: 88: 23: 22: 15: 12: 11: 5: 913: 911: 903: 902: 897: 892: 887: 882: 877: 872: 862: 861: 856: 855: 848: 841: 833: 830: 829: 816: 802: 801: 799: 798: 793: 788: 782: 779: 778: 776: 775: 770: 765: 760: 755: 750: 745: 740: 735: 730: 725: 720: 715: 710: 705: 700: 695: 690: 685: 680: 675: 670: 669: 668: 663: 658: 653: 648: 643: 638: 633: 628: 623: 613: 608: 603: 598: 593: 588: 583: 578: 573: 568: 563: 558: 553: 548: 542: 540: 539:Basic concepts 536: 535: 533: 532: 517:Margin at risk 513:Profit at risk 506: 504:Tracking error 501: 491: 486: 481: 476: 474:Risk-free rate 471: 466: 461: 456: 451: 446: 441: 436: 431: 426: 421: 416: 411: 405: 403: 397: 396: 393: 392: 390: 389: 384: 379: 374: 372:Execution risk 368: 366: 362: 361: 359: 358: 353: 351:Political risk 348: 343: 338: 333: 328: 322: 320: 314: 313: 311: 310: 299:Liquidity risk 296: 291: 289:Inflation risk 286: 281: 279:Margining risk 276: 271: 269:Valuation risk 266: 261: 238:Commodity risk 234: 232: 226: 225: 223: 222: 220:Securitization 217: 212: 207: 202: 197: 192: 186: 184: 175: 171: 170: 163:Financial risk 161: 159: 158: 151: 144: 136: 128: 127: 115: 103: 90: 89: 87: 84: 68:interest rates 24: 14: 13: 10: 9: 6: 4: 3: 2: 912: 901: 900:Finance stubs 898: 896: 893: 891: 888: 886: 883: 881: 878: 876: 873: 871: 868: 867: 865: 854: 849: 847: 842: 840: 835: 834: 828: 826: 822: 817: 814: 810: 797: 794: 792: 789: 787: 784: 783: 780: 774: 771: 769: 768:Systemic risk 766: 764: 761: 759: 756: 754: 751: 749: 746: 744: 741: 739: 736: 734: 731: 729: 726: 724: 721: 719: 716: 714: 711: 709: 706: 704: 701: 699: 696: 694: 691: 689: 686: 684: 681: 679: 676: 674: 671: 667: 664: 662: 659: 657: 654: 652: 649: 647: 644: 642: 639: 637: 634: 632: 629: 627: 624: 622: 619: 618: 617: 614: 612: 609: 607: 604: 602: 599: 597: 594: 592: 589: 587: 584: 582: 579: 577: 574: 572: 569: 567: 566:Capital asset 564: 562: 559: 557: 556:Asset pricing 554: 552: 549: 547: 544: 543: 541: 537: 530: 526: 522: 518: 514: 510: 507: 505: 502: 499: 495: 492: 490: 489:Sortino ratio 487: 485: 482: 480: 477: 475: 472: 470: 467: 465: 462: 460: 457: 455: 452: 450: 447: 445: 442: 440: 437: 435: 432: 430: 427: 425: 422: 420: 417: 415: 412: 410: 407: 406: 404: 402: 398: 388: 385: 383: 382:Systemic risk 380: 378: 375: 373: 370: 369: 367: 363: 357: 354: 352: 349: 347: 344: 342: 339: 337: 334: 332: 331:Business risk 329: 327: 324: 323: 321: 319: 315: 308: 304: 300: 297: 295: 292: 290: 287: 285: 282: 280: 277: 275: 272: 270: 267: 265: 262: 259: 255: 251: 247: 243: 239: 236: 235: 233: 231: 227: 221: 218: 216: 213: 211: 208: 206: 203: 201: 198: 196: 193: 191: 188: 187: 185: 183: 179: 176: 172: 168: 164: 157: 152: 150: 145: 143: 138: 137: 134: 124: 119: 116: 112: 107: 104: 100: 95: 92: 85: 83: 81: 80:Value at Risk 77: 73: 69: 65: 61: 57: 53: 49: 45: 41: 37: 33: 29: 19: 825:expanding it 818: 723:Moral hazard 708:Risk of ruin 528: 484:Sharpe ratio 346:Country risk 307:Deposit risk 205:Default risk 118: 113:, abrigo.com 106: 94: 34:(CFaR) are 31: 27: 26: 880:Market risk 773:Toxic asset 733:Speculation 666:social work 651:engineering 479:Risk parity 464:Omega ratio 377:Profit risk 264:Equity risk 242:Volume risk 230:Market risk 182:Credit risk 40:market risk 864:Categories 356:Legal risk 336:Model risk 250:Shape risk 246:Basis risk 174:Categories 86:References 703:Risk pool 616:Financial 626:analysis 561:Bad debt 439:Drawdown 401:Modeling 36:measures 641:betting 631:analyst 621:adviser 274:FX risk 78:as for 42:on the 683:Hazard 434:Copula 301:(e.g. 240:(e.g. 688:Hedge 646:crime 636:asset 469:RAROC 365:Other 821:stub 698:Risk 661:risk 165:and 66:and 46:and 656:law 601:ESG 866:: 527:, 523:, 519:, 515:, 305:, 256:, 252:, 248:, 244:, 82:. 852:e 845:t 838:v 827:. 531:) 500:) 496:( 309:) 260:) 155:e 148:t 141:v 20:)

Index

Cash flow at risk
measures
market risk
income statement
cash flow statement
return on assets
return on equity
net interest income
foreign exchange
interest rates
possible shortfalls in cash flow
under simulation
Value at Risk
The benefits of CFaR and EaR for corporate risk management
Interest rate risk – earnings at risk
Earnings at Risk
v
t
e
Financial risk
financial risk management
Credit risk
Consumer credit risk
Sovereign credit risk
Settlement risk
Default risk
Concentration risk
Credit derivative
Securitization
Market risk

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