Knowledge (XXG)

Earnings at risk

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The benefits of CFaR and EaR for corporate risk management
813: 39:
respectively, and hence the risk to the institution's
527: 388: 353: 305: 217: 169: 162: 833: 136: 8: 840: 826: 166: 143: 129: 121: 80: 100:Interest rate risk – earnings at risk 7: 798: 796: 27:reflecting the potential impact of 812:. You can help Knowledge (XXG) by 808:This finance-related article is a 63:due to these. Both are calculated 14: 800: 418:Conditional Value-at-Risk (CVaR) 61:possible shortfalls in cash flow 874:Monte Carlo methods in finance 737:Strategic financial management 540:Asset and liability management 1: 47:. EaR measures the impact on 315:Operational risk management 114:, bloomsburycollections.com 905: 795: 487:Proportional hazards model 438:Interest rate immunization 770: 156:financial risk management 433:First-hitting-time model 398:Arbitrage pricing theory 864:Financial risk modeling 742:Stress test (financial) 448:Modern portfolio theory 59:; while CFaR measures 19:(EaR) and the related 780:Investment management 682:Investment management 408:Replicating portfolio 184:Sovereign credit risk 884:Financial management 859:Mathematical finance 785:Mathematical finance 717:Risk-return spectrum 707:Mathematical finance 662:Fundamental analysis 595:Exchange traded fund 179:Consumer credit risk 51:due to movements in 775:Financial economics 732:Statistical finance 498:Value-at-Risk (VaR) 403:Black–Scholes model 243:Holding period risk 49:net interest income 37:cash flow statement 879:Capital management 752:Structured product 747:Structured finance 727:Speculative attack 413:Cash flow matching 376:Non-financial risk 273:Interest rate risk 199:Concentration risk 821: 820: 793: 792: 565:Corporate finance 560:Capital structure 514:Cash flow at risk 510:Liquidity at risk 483:Survival analysis 384: 383: 330:Reputational risk 204:Credit derivative 43:and, ultimately, 21:cash flow at risk 896: 842: 835: 828: 804: 797: 667:Growth investing 585:Enterprise value 535:Asset allocation 518:Earnings at risk 500:and extensions ( 443:Market portfolio 307:Operational risk 292:Refinancing risk 167: 145: 138: 131: 122: 115: 112:Earnings at Risk 109: 103: 97: 91: 85: 65:under simulation 53:foreign exchange 45:return on equity 41:return on assets 33:income statement 17:Earnings at risk 904: 903: 899: 898: 897: 895: 894: 893: 849: 848: 847: 846: 794: 789: 766: 702:Systematic risk 600:Expected return 580:Economic bubble 575:Diversification 570:Cost of capital 523: 380: 349: 301: 283:Volatility risk 247:Price area risk 213: 189:Settlement risk 158: 149: 119: 118: 110: 106: 98: 94: 90:, bloomberg.com 86: 82: 77: 12: 11: 5: 902: 900: 892: 891: 886: 881: 876: 871: 866: 861: 851: 850: 845: 844: 837: 830: 822: 819: 818: 805: 791: 790: 788: 787: 782: 777: 771: 768: 767: 765: 764: 759: 754: 749: 744: 739: 734: 729: 724: 719: 714: 709: 704: 699: 694: 689: 684: 679: 674: 669: 664: 659: 658: 657: 652: 647: 642: 637: 632: 627: 622: 617: 612: 602: 597: 592: 587: 582: 577: 572: 567: 562: 557: 552: 547: 542: 537: 531: 529: 528:Basic concepts 525: 524: 522: 521: 506:Margin at risk 502:Profit at risk 495: 493:Tracking error 490: 480: 475: 470: 465: 463:Risk-free rate 460: 455: 450: 445: 440: 435: 430: 425: 420: 415: 410: 405: 400: 394: 392: 386: 385: 382: 381: 379: 378: 373: 368: 363: 361:Execution risk 357: 355: 351: 350: 348: 347: 342: 340:Political risk 337: 332: 327: 322: 317: 311: 309: 303: 302: 300: 299: 288:Liquidity risk 285: 280: 278:Inflation risk 275: 270: 268:Margining risk 265: 260: 258:Valuation risk 255: 250: 227:Commodity risk 223: 221: 215: 214: 212: 211: 209:Securitization 206: 201: 196: 191: 186: 181: 175: 173: 164: 160: 159: 152:Financial risk 150: 148: 147: 140: 133: 125: 117: 116: 104: 92: 79: 78: 76: 73: 57:interest rates 13: 10: 9: 6: 4: 3: 2: 901: 890: 889:Finance stubs 887: 885: 882: 880: 877: 875: 872: 870: 867: 865: 862: 860: 857: 856: 854: 843: 838: 836: 831: 829: 824: 823: 817: 815: 811: 806: 803: 799: 786: 783: 781: 778: 776: 773: 772: 769: 763: 760: 758: 757:Systemic risk 755: 753: 750: 748: 745: 743: 740: 738: 735: 733: 730: 728: 725: 723: 720: 718: 715: 713: 710: 708: 705: 703: 700: 698: 695: 693: 690: 688: 685: 683: 680: 678: 675: 673: 670: 668: 665: 663: 660: 656: 653: 651: 648: 646: 643: 641: 638: 636: 633: 631: 628: 626: 623: 621: 618: 616: 613: 611: 608: 607: 606: 603: 601: 598: 596: 593: 591: 588: 586: 583: 581: 578: 576: 573: 571: 568: 566: 563: 561: 558: 556: 555:Capital asset 553: 551: 548: 546: 545:Asset pricing 543: 541: 538: 536: 533: 532: 530: 526: 519: 515: 511: 507: 503: 499: 496: 494: 491: 488: 484: 481: 479: 478:Sortino ratio 476: 474: 471: 469: 466: 464: 461: 459: 456: 454: 451: 449: 446: 444: 441: 439: 436: 434: 431: 429: 426: 424: 421: 419: 416: 414: 411: 409: 406: 404: 401: 399: 396: 395: 393: 391: 387: 377: 374: 372: 371:Systemic risk 369: 367: 364: 362: 359: 358: 356: 352: 346: 343: 341: 338: 336: 333: 331: 328: 326: 323: 321: 320:Business risk 318: 316: 313: 312: 310: 308: 304: 297: 293: 289: 286: 284: 281: 279: 276: 274: 271: 269: 266: 264: 261: 259: 256: 254: 251: 248: 244: 240: 236: 232: 228: 225: 224: 222: 220: 216: 210: 207: 205: 202: 200: 197: 195: 192: 190: 187: 185: 182: 180: 177: 176: 174: 172: 168: 165: 161: 157: 153: 146: 141: 139: 134: 132: 127: 126: 123: 113: 108: 105: 101: 96: 93: 89: 84: 81: 74: 72: 70: 69:Value at Risk 66: 62: 58: 54: 50: 46: 42: 38: 34: 30: 26: 22: 18: 814:expanding it 807: 712:Moral hazard 697:Risk of ruin 517: 473:Sharpe ratio 335:Country risk 296:Deposit risk 194:Default risk 107: 102:, abrigo.com 95: 83: 23:(CFaR) are 20: 16: 15: 869:Market risk 762:Toxic asset 722:Speculation 655:social work 640:engineering 468:Risk parity 453:Omega ratio 366:Profit risk 253:Equity risk 231:Volume risk 219:Market risk 171:Credit risk 29:market risk 853:Categories 345:Legal risk 325:Model risk 239:Shape risk 235:Basis risk 163:Categories 75:References 692:Risk pool 605:Financial 615:analysis 550:Bad debt 428:Drawdown 390:Modeling 25:measures 630:betting 620:analyst 610:adviser 263:FX risk 67:as for 31:on the 672:Hazard 423:Copula 290:(e.g. 229:(e.g. 677:Hedge 635:crime 625:asset 458:RAROC 354:Other 810:stub 687:Risk 650:risk 154:and 55:and 35:and 645:law 590:ESG 855:: 516:, 512:, 508:, 504:, 294:, 245:, 241:, 237:, 233:, 71:. 841:e 834:t 827:v 816:. 520:) 489:) 485:( 298:) 249:) 144:e 137:t 130:v

Index

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
Commodity risk

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