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Risk Metrics: Strategy Tree and Scorecard Details

The document summarizes the key risk metrics from a risk scorecard across 5 categories: Expected Loss, Economic Capital, Liquidity Risk, Market Risk, and Business Risk. It provides the target and performance values for 16 indicators across these categories. The total performance on the risk scorecard is 48.74%. The scorecard allows changing the weights and performance values of the different perspectives and goals.

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Amitesh Srivastava
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© Attribution Non-Commercial (BY-NC)
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99 views4 pages

Risk Metrics: Strategy Tree and Scorecard Details

The document summarizes the key risk metrics from a risk scorecard across 5 categories: Expected Loss, Economic Capital, Liquidity Risk, Market Risk, and Business Risk. It provides the target and performance values for 16 indicators across these categories. The total performance on the risk scorecard is 48.74%. The scorecard allows changing the weights and performance values of the different perspectives and goals.

Uploaded by

Amitesh Srivastava
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Risk Metrics Risk Metrics

scorecard allows

Perspective
Expected Loss (EL) Economic Capital (EC) Liquidity Risk

Performance
67.71% 46.22% 45.00%

Market risk 48.10% Business Risk 36.67% Total Performance 48.74% Scorecard includes 5 categories, 16 indicators Help - You can change the values in "weight" column, the value must be between 0 and 10; "10" value means that the perspective or goal is the most valuable - You can change the values in "Performance" column;

Strategy tree and scorecard details :


Perspective Goal Expected Loss (EL)
Probability of Default (PD)

Weight (x of 10)
2

Description

Performance (%)
67.71% 5%

Customers credit quality measurements 3 (agency debt ratings) Accounts receivables plus current mark-tomarket exposure of contracts plus the Expected Potential Future Exposure of contracts divided by the average EE value, 3 multiplied by 100 2 Metric is not available in trial version 2 Metric is not available in trial version Expected Loss (EL) 2 Company revenue minus expenses, divided by Company equity, multipled by 3 100

Expected Exposure (EE) rate Loss Given Default (LGD) Unexpected loss Total Performance in group

80% 5% 3% 67.71% 46.22%

Economic Capital (EC)


Return on equity (ROA) Risk-adjusted return on economic capital (RAROC) Value-at-Risk (VAR) Total Performance in group

40%

Company revenue minus expenses minus expected loss, divided by Company equity, 3 multipled by 100 4 Metric is not available in trial version Economic Capital (EC) 2

20% 25% 46.22% 45.00%

Liquidity Risk
Price Permanent Variable Price Transitory Variable Illiquidity Total Performance in group

Permanent variable (correlated to traded volume) component of price impact, 3 expressed as a percentage Transitory variable (correlated to traded volume) component of price impact, 3 expressed as a percentage 4 Metric is not available in trial version Liquidity Risk 2

30%

40% 15% 45.00% 48.10%

Market risk

Equity Premium Interest Rate Risk Currency risk Commodity risk Total Performance in group

The standard deviation of a security's price 4 over a specified period. Calculation based on the changes in underlying interest rates and changes in 2 applicable implied volatilities. 2 Metric is not available in trial version 2 Metric is not available in trial version Market risk 2 The expected business economic benefit 5 divided by the capitalization rate A stream of future economic benefits 5 discounted to their present value. Business Risk

3%

5% 4% 6% 48.10% 36.67%

Business Risk
Capitalization Discounted Cash Flow Total Performance in group

40% 25% 36.67%

Total Performance in Risk Metrics

48.74%

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Balanced Scorecard Designer

EVALUATION VERSION
and weight values will not affect any changes of perspective performance and total performance values To purchase a full version, please visit http://www.strategy2act.com/ordering_metrics.htm

Target Values
1% 20%

150% 2% 0%

40% 70% 10%

80%

5%

50% 5%

5% 50%

50%

20%

60% 20%

20% 10%

8%

1%

1% 0,5% 0,5%

9% 25% 11%

60% 40%

30% 15%

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