Value at Risk: Morgan Stanley

Code : INB0011

Year : 2011

Industry : -

Region : US

Teaching Note:Not Available

Structured Assignment :Not Available

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Abstract: This case study discusses the Market risk and its management by Morgan Stanley.

It talks about how Morgan Stanley uses statistical measure –Value at Risk (VaR) to measure, monitor and review the market risk of its trading portfolio.

The case study tries bringing out the methodology and assumption underlying VaR used by Morgan Stanley.


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Pedagogical Objectives:

  • Understand the market risk and its management at Morgan Stanley
  • Explain the mechanism of VaR in the context of Morgan Stanley
  • Demonstrate the methodology and advantages of Value at Risk
  • Explain the limitation of Value of Risk


    Keywords : Value at Risk, Financial Risk Management, RiskMetrics, Morgan Stanley, Market Risk, Management of Market Risk, VaR Methodology And Assumptions, Limitation of VaR, VaR Methods

    Contents :
    » Morgan Stanley
    » Market Risk at Morgan Stanley
    » VaR Methodology and Assumptions @ Morgan Stanley


    Case Introduction >>


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