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PRO Financial Solutions (PRO) is looking to investigate the benefits of actively including Value at Risk (VaR) in the capital management process of credit unions. Whereas Earnings at Risk (EaR) is a well-established risk measure, VaR still lacks understanding among credit unions. In this research project, the intern will illustrate the relationship between EaR and Duration of Equity, a VaR proxy, and therefor explain VaR in terms of EaR ? a number credit unions are more familiar with. As a conclusion to the project, she will investigate the relative performance of PRO?s clients that actively use VaR for their portfolio management against the complementary group. In a second step, she will enhance the current model by implementing a stochastic VaR model. Based on the outcomes of this calculations, not only credit unions but financial institution in general will be able to actively include VaR in the risk management process of their non-trading portfolios.
Andrey Pavlov
Leonie Wilcke
PRO Financial Solutions
Business
Finance, insurance and business
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