Market Risk Management at ABN AMRO


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Case Details:

Case Code : FINA022
Case Length : 10 Pages
Period : -
Pub. Date : 2005
Teaching Note :Not Available
Organization : -
Industry : Banking & Financial Services
Countries : Netherlands

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Please note:

This case study was compiled from published sources, and is intended to be used as a basis for class discussion. It is not intended to illustrate either effective or ineffective handling of a management situation. Nor is it a primary information source.

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Excerpts

Market Risk Management

Market Risk contained three major functions: Market Risk Management, Market Risk Policy, and Market Risk Reporting & Control.

Market Risk Management (MRM) ensured that the authority delegated by the Group Asset Management and Liability Committee (ALCO) and Group Risk Committee (GRC) with regard to market risk resulting from the bank's trading activities was exercised effectively, and that exposures were efficiently monitored and managed.

MRM limited and monitored the potential impact of specific pre-defined market movements on the profit & loss of trading positions...

Asset and Liability Management

Interest Rate Risk

One of GALM's core objectives was to manage the sensitivity of the bank's net interest revenue to changes in market interest rates. Group ALCO set limits to ensure that the potential adverse impact of market movements on trading and non-trading earning was closely controlled...

Exhibits

Exhibit 1: Revenues in 2004 per SBU in %

Exhibit 2: Total Revenue

Exhibit 3: Financial Highlights

Exhibit 4: Risk Governance Organizational Structure

Exhibit 5: VaR per Risk Category

Exhibit 6: VaR V/s Hypothetical Profit & Loss for Trading Portfolios for 2004

 

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