Since the financial crisis of 2007/2008 risk management become a boost in financial institutions. The crisis has shown that the risk management of most institutions are inefficient, their models inadequate and that regulation failed their aim to avoid such a major crisis (Bessis, 2010).
To identify, measure, control and price risk and to estimate the effect on a port-folio is a hard task because it is a look towards the future. But it is essential be-cause it has an impact on the profitability, the solvency and so on to the future survival (Sironi and Resti, 2007, p. xxii).
This paper describes two models of measuring risk, the theoretical foundation of Beta and the concept of Duration. Furthermore a quantified demonstration of these models is provided to show the practical implementation. However, every model has limitations which are critical shown in the last chapter and in the last chapter a general conclusion is stated.
Inhaltsverzeichnis (Table of Contents)
- Introduction
- Theoretical Foundation of Beta
- Concept of Duration
- Portfolio Management with Beta and Duration
- Beta
- Duration
- Limitations of these models
- Beta
- Duration
- Conclusion
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This assignment aims to compare and contrast the theoretical concept of Beta and the practical importance of Duration as measurements of future risk and returns. It will explore the application of these concepts in portfolio management and analyze their limitations.
- Theoretical foundations of Beta and its role in measuring systematic risk
- Concept of Duration and its practical importance in managing interest rate risk
- Application of Beta and Duration in portfolio management
- Limitations of Beta and Duration as risk and return measures
- Comparison and contrast between Beta and Duration
Zusammenfassung der Kapitel (Chapter Summaries)
The introduction sets the stage for the assignment by outlining its objectives and scope. It will delve into the theoretical foundation of Beta, explaining its role in measuring systematic risk. The concept of Duration will be explored, focusing on its practical importance in managing interest rate risk. The assignment will then move on to examine how Beta and Duration are applied in portfolio management, analyzing their limitations. Finally, the concluding chapter will summarize the key findings and provide insights into the implications of these concepts for financial services.
Schlüsselwörter (Keywords)
The primary keywords and focus topics of this assignment include Beta, Duration, systematic risk, interest rate risk, portfolio management, financial services, risk and return measurement.
- Citation du texte
- Christoph Schubert (Auteur), 2014, Beta and Duration as Measurements of Future Risk and Returns, Munich, GRIN Verlag, https://www.grin.com/document/299992
