FIN 701 Lecture Notes - Lecture 5: Kweku Adoboli, Rogue Trader, M&T Bank
13 Apr 2016
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Document Summary
1996 sumitomo corp. lost us. 6 billion in commodity futures trading: allfirst/ allied irish us million loss. Allfirst eventually sold to buffalo based m&t bank. o. 2008, rogue trader j r me kerviel of soci t g n rale lost us. 1 billion in trading european stock index futures. October 5, 2010: 3 years jail, repay 4. 9 bln euros (us. 8 bln): ubs, september 2011, us. 3 billion trading loss; rogue" trader kweku adoboli charged with fraud related to unauthorised trading. Market risk is the uncertainty resulting from changes in market prices : affected by other risks such as interest rate risk and fx risk. o. It can be measured over periods as short as one day: usually measured in terms of dollar exposure amount or as a relative amount against some benchmark. Benefit of market risk measurement (mrm) table 15-2. Generally concerned with estimated potential loss under adverse circumstances. Jpm riskmetrics (var variance/covariance approach: historic or back simulation, monte carlo simulation.
