Beta and Duration as Measurements of Future Risk and Returns
Christoph Schubert
Jun 2015 · GRIN Verlag
Ebook
18
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About this ebook
Seminar paper from the year 2014 in the subject Business economics - Business Management, Corporate Governance, grade: 1,0, Dublin Business School, language: English, abstract: 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.
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