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Modelling market risk with SAS Risk Dimensions : a step by step implementation
Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2005.
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| Format: | Thesis |
| Language: | English |
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Stellenbosch : University of Stellenbosch
2008
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| _version_ | 1867614139151548416 |
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| access_status_str | Open Access |
| author | Du Toit, Carl |
| author2 | Conradie, W. J. |
| author_browse | Conradie, W. J. Du Toit, Carl |
| author_facet | Conradie, W. J. Du Toit, Carl |
| author_sort | Du Toit, Carl |
| collection | Thesis |
| dc_rights_str_mv | University of Stellenbosch |
| description | Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2005. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/3483 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:47:17.083Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2008 |
| publishDateRange | 2008 |
| publishDateSort | 2008 |
| publisher | Stellenbosch : University of Stellenbosch |
| publisherStr | Stellenbosch : University of Stellenbosch |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/3483 Modelling market risk with SAS Risk Dimensions : a step by step implementation Du Toit, Carl Conradie, W. J. University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. Risk management -- Statistical methods Financial institutions -- Risk management -- Statistical methods SAS Risk dimensions Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignments -- Statistics and actuarial science Thesis (MComm (Statistics and Actuarial Science))--University of Stellenbosch, 2005. Financial institutions invest in financial securities like equities, options and government bonds. Two measures, namely return and risk, are associated with each investment position. Return is a measure of the profit or loss of the investment, whilst risk is defined as the uncertainty about return. A financial institution that holds a portfolio of securities is exposed to different types of risk. The most well-known types are market, credit, liquidity, operational and legal risk. An institution has the need to quantify for each type of risk, the extent of its exposure. Currently, standard risk measures that aim to quantify risk only exist for market and credit risk. Extensive calculations are usually required to obtain values for risk measures. The investments positions that form the portfolio, as well as the market information that are used in the risk measure calculations, change during each trading day. Hence, the financial institution needs a business tool that has the ability to calculate various standard risk measures for dynamic market and position data at the end of each trading day. SAS Risk Dimensions is a software package that provides a solution to the calculation problem. A risk management system is created with this package and is used to calculate all the relevant risk measures on a daily basis. The purpose of this document is to explain and illustrate all the steps that should be followed to create a suitable risk management system with SAS Risk Dimensions. Masters 2008-07-08T10:29:03Z 2010-07-09T11:11:17Z 2008-07-08T10:29:03Z 2010-07-09T11:11:17Z 2005-03 Thesis http://hdl.handle.net/10019.1/3483 en University of Stellenbosch application/pdf Stellenbosch : University of Stellenbosch |
| spellingShingle | Risk management -- Statistical methods Financial institutions -- Risk management -- Statistical methods SAS Risk dimensions Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignments -- Statistics and actuarial science Du Toit, Carl Modelling market risk with SAS Risk Dimensions : a step by step implementation |
| title | Modelling market risk with SAS Risk Dimensions : a step by step implementation |
| title_full | Modelling market risk with SAS Risk Dimensions : a step by step implementation |
| title_fullStr | Modelling market risk with SAS Risk Dimensions : a step by step implementation |
| title_full_unstemmed | Modelling market risk with SAS Risk Dimensions : a step by step implementation |
| title_short | Modelling market risk with SAS Risk Dimensions : a step by step implementation |
| title_sort | modelling market risk with sas risk dimensions a step by step implementation |
| topic | Risk management -- Statistical methods Financial institutions -- Risk management -- Statistical methods SAS Risk dimensions Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Assignments -- Statistics and actuarial science |
| url | http://hdl.handle.net/10019.1/3483 |
| work_keys_str_mv | AT dutoitcarl modellingmarketriskwithsasriskdimensionsastepbystepimplementation |