Value at Risk: Morgan Stanley
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Code : INB0011
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Region : US
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Morgan Stanley In 1933, Glass–Steagall Act separated the commercial banking from securities underwriting. It forced firms like J.P. Morgan & Co. to split their commercial banking and investment banking activities. As a result, J.P. Morgan & Co. decided to spin off its investment banking business to a new firm, Morgan Stanley, formed by its employees Henry Sturgis Morgan , Harold Stanley and few others who left J.P. Morgan & Co to carry out securities business... Market Risk at Morgan Stanley Market risk arises due to changes in interest rate, indices, foreign exchange rate, market liquidity, and price fluctuation. At Morgan Stanley, a major part of the risk arises as a result of trading and customer facilitation activities, mainly from the Institutional Securities business. In addition to this, the company faces trading-related market risk within the Global Wealth Management Group... VaR Methodology and Assumptions @ Morgan Stanley The company uses historical simulation and Monte Carlo simulation to estimate the VaR. The company uses historical simulation for major market risk factors and Monte Carlo simulation for name-specific risks in equities and fixed (such as corporate bonds, loans and credit derivatives) income exposures... |
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