Track: Risk Management

Using Value-at-Risk as a Risk Mitigation Tool in a Post-Subprime World

Tuesday, October 21, 2008
10:30 a.m. - 12:00 p.m.
Room: 502 B

With examples covering SFAS 133 effectiveness testing, SFAS 157 implementation and overseas project bidding, this session will discuss integrating Value-at-Risk analysis into business decisions. Particular focus will be placed on the common pitfalls and limitations, especially relevant in today?s environment of increased scrutiny.

Speakers:

• Ivan O. Asensio
  Senior Vice President, FX Risk Advisory
  HSBC Bank USA, N.A.

• Janet M. Payeski, CTP
  Financial Risk Manager
  Air Products & Chemicals

Objectives

• Implement non-black box value-at-risk frameworks to evaluate currency exposure in corporate treasury situations
• Understand the limitations of value-at-risk estimates
• Generalize the approach presented for currency exposures to evaluate equity, interest rate and commodity price risk

Pre-Requisites

• Prior exposure to basic statistics

Take-Aways

• Checklist with the pros and cons on the different ways to measure and arrive at the volatility inputs to the model
• List of formulas that can be entered into Excel for developing your own non-black value-at-risk model

CPA Field of Study: MAS