Title: ALM
1????, ???? ????' ???? ?????? ????? ??"?
Oved, Gubi Co. Financial Consultans Ltd.
????? ??????? ?- ALM ?????? ?? ????????
??' ?????? 5, ??? ??? ??.7674835-09tel. ???. 5
Duchfat St.Kfar-saba.Fax.09-7677357 ?.? 6022 ???
??? 44641 P.O. 6022 Kfar-Saba, ?? ???? E-Mail.
Office1_at_ovedgubi.com ??' ??? ??? ????? 65 ?? ????
67138 65 Petach-Tikva St.Tel-Aviv ??'. 5629920-03
Tel. ???. 5629924-03 Fax. ?? ???? E-Mail
tlv_at_ovedgubi.com
F/mazget/200249-1 ?.??????? ????
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/ ????, ?????? ???????? ?????? ????? ????.
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- ????? ?????-
- ????? ????? ???????? ?????? ????? ??????
???????, ?????? ?????? ???? ????? ???? ??????
?????? ????? ?????? ????. - ??"?- ??? ???? ????? (??"?) ??? ??? ??????
?????? ????? ????? (??"?, ??????) ?????? ??????
??? ??????? ????? ?????? ??? ????? ?????? ?????
??????. - ??"?- ????? ????? ????? (??"?) ???? ?? ?????
?????? ??? ???? ?? ??? ???????? ???????? ?????
?????? / ???? ????? ???.
6 ????? ????
- VaR (Value at Risk)-
- ????? ???????? ????? ????? / ???? ????? ?? ???
????? , ???? ??????? ????? ??? ??? ???? ????
????. - Earnings at Risk) EaR)-
- ????? ???????? ????? ????? ?????? ??????? ??
???? (???? ??????? ??????????) ?????? ????????
?????? ?????? ,???? ??????? ????? ??? ??? ????
???? ????.
7????? ????
- Stress Test
- ????? ???? ????? ??????? ???? ?????/???? ??????
???????? ??? ???????? ????????? ????. ???? ?????
??????? ???? ?? ?? ?????? ????? ??????? ???? . - Back Testing
- ???? ?????? ??????? -VaR ??-EaR. ????? ???
?????? ??? ?????? ?????? ?? ??? ????? ?- VaR ????
???????? ??????? ???? ?????.
8????? ????? ????? ??????? ? -ALM
9????? ??? ????? ?????
- ?????? ???? ????? ?????? ??????? ???? ????????
??????? ????? ?????? ?????? ????????? ?????. - ?? ???? ????? ???? ?"? ????? ?????? ????? ????.
- ?? ?"???" ?? ????? ???????? ????? ?"? ???? ??????
?????????.
10????? ??? ????? ?????
- ?????? ???? ??????
- ????? ??? ???????.
- ????? ??????? ??????? ?????? ?????? ???????
?????? ?????? ????? ??????. - ????? ??????? ????????? ????? ????? ?? ?? ?????
??????. - ????? ????? ????? ?? ????? ???????.
- ????? ??????? ???"??? ?????????.
11????? ???? ?? ???????
- ????? ?????? ?????? ???"?
11
12?????? ?????? ??????? ????????? ???? ?? ???????
- ?? ??? ?????? ???? ??? ???????? ???????? ???????
???? ???? ?? ???? ???? ????? ???????.
12
13????? ??????? - ???? ?????
????? ???? ?????
????? ??? ???? ????? ?"? ????? ?????
????? ????? ???? ??????? ????????????
????? ????? ???? ??????? ?????
????? ????? ??????? ???? ????
13
14????? ??????? - ???? ?????
????? ????? ??????? ???? ????
????? ???????? ????????
????? ?? ???????? ????? ??????
14
15???? ????? - ???
- ????? ??? ???? ?? ??????? ???? ????? ?????? ????
????? ?? 210 ???"?. - ?????? ????? ????? ??? ?? ???? ?????? ??? ?????
(??????? ???? ?????). - ????? ???? ?? ?????? ???? ?????? ?? ?- 28.3 ???"?.
15
16??? 1-???? ?????
16
17??? 2- ??? ???? ????? ????
?????
17
18??? 3-????? ????? ?????? ????? (1)
- ??? ?'-????? ???? ???? ????? ?? ????? ?????? ??
?? ????? ????? .
18
19??? 3- ????? ????? ?????? ????? (2)
- ??? ?'-????? ?????? ?????? ????? ?????.
19
20??? 4- ????? ????? ???? (4 ????????)
- ???? ????? ?????? ???? ????? ???"? (??? ??????
??"?). - ????? ???? ????? ?? ????? ??? ?????? ??? ??? ????
?????? ?? ????
20
21??? 4 ????? ????? ???? (?????)
21
22??? 5 ????? ?-EaR
???? ????? ?? ????? ???? ?? 59,289 ???? ?
?-EaR ???? ???? ??????? ?? 95 ?-22 ??? ???? ??
??? ????? ?? 250 ??? ???? ?????????.
22
23??? ??????? ????? ?????
23
24????? ?????? ????? 5 - 1
- ???????? ?? 95 ????? ???????? ????? ????? ??????
????? ??? 5.2 ???"?. - ???? ?????? ?? ????? ??? ????? ??? -???? ????? .
- ????? ????? ?????? ???? ?????? ?? ?????? ???"?.
- ???????? ???????
- ????? ??????? ????? ????????? ???? ?"? ???????
?????? ???????. - ????? ???? ????? ?????? ?????? ????? ??????.
24
25??? 6- ????? ???????
- ???? ?????? ?? ????? ??? ????? ??? -???? ????? .
- ?? ??? ?????? ????? ????? ?????????? ?????
??????- - ????? ??????? PUT ??????? ???? ??????? ?? ?? ??
M1.0 (??? ????) ????? ?? ???? ???? ???????? ?-
166,000 ?"?. - ????? ??? ?????? ??????? (Forward) ??????? ???'
2002 ????? 2003 ?? ???? ????? ??????. - ?? ???? ?????? ????? M0.5 ?-M0.5 ???? ?????
????? ??? ????. ????? ??? ???? , ?? ??????
??????? ?? ?? ?? 10.
24
26????? ?"? ??????? ????
- ????? ??????? ???????? ??????? ????? ?? 166,000 ?
, ?????? ?? M2 . - ???? ????? ?? ?-EaR ??? ? 110,000 ? ?????
????????? ???? 166,000 ? .
25
27????? ?????? ????? ???? ?????? ????????
???? ?????
???? ?????
26
28????? ?????? ????? ???? ?????? ????????
OPTIONS
27
29????? ?-EaR ?????? ???? ??????
???? ????? ?? ????? ???? 59,289???? ?
???? ????? ?? ?????? ?????? ????? ?? ?- EaR ???
??- 41.
28
30??????? ????? ??????
29
31??? 7 ????? ?????? ?????
- ????? ???? ??? ?????? ?? ??? ?????? ?? ??????
????? ????? ????. - ????? ???? ????? ?????? (??????) ??????
????????. - ???? ???? ???? ????? ????? ??? ??? ?? ????? (????
,????) ??? ?????? ????????.
30
32?????? ?????? ???? ?? ?????
- ???? ?? ?????? ?????? ???? ?????? ????? .
31
33????? 1- ????? ?????
32
34????? 2- ????? ????
33
35??? 8 ???? EaR ???? ?? ?????
???? ????? ?? ????? ???? ?? 59,289 ???? ?
18-
34-
34
36????? ???? ?????? ?? ???????
- ???? ???? ???? ????? ????? ??? ??? ?? ????? (????
,????) ?????? ?????? ????????.
35
37?????? ?????? ???? ?? ?????
????? ?????-
????? ????-
36
38???? EaR ???? ?? ?????
???? ????? ?? ????? ???? ?? 59,289 ???? ?
37
39??????? ???? ????? - ????
38
40??????
- ???? ????? ?????? ?? ????? ????????? ?????? ?????
???? ???????? ?????? ???????? ?? ??????. - ???? ?????-
- ??? ???? ??????? ?? ?????? ????? ??????? ?? ????
?????????.
39
41?????? ??????? ????? ?????
40
42?????? STRESS ????? ? -EaR
- ?????? ?????? ?-EaR ????? ????? ?? ?? ???? ?????
(???? ??????? ?? ????????) ???? ?????? STRESS
?????? ?????? ?????? ?? ?????? ???????. - ????? ???? ????? STRESS ???? ??????? ?? ?????
????? ???? (??? ????? ?? ????? ???????).
41
43?????? ??????
42
44???? ?? ????? ?- VaR
- ???? VaR ???????
- ???? VaR ??????
- ???? VaR ????? ????
43
45???????? ?????????
- ????? ????????? ????
- ????? ???????? ???? ???? ??????? ????
- ????? ???? ?????
- ????? ??????? ?????? ????????
????? ??????
44
46???? ?????? Variance Covariance
- ??????? ???????? ??????? ?? ????? ??????.
- ????? ?????? ???? ?? ??????????.
- ????? ?? ?????? ??????? ??????.
- .VaR1 ?P 2.33 ?P
- ?????? ?? ???? ?????????.
45
47Variance-Covariance
?-2.33?
46
48???????? ????? ????
- ??????? ????? ??????.
- ???????? ????? ?? ???? ???? ?? ???????.
- ????? ???? ????? ???? ?? ?????.
- ????? ???????.
- VaR ??????? ??????.
47
49???? ?? ??????
50?? ???????
- ????? ??????? ????????.
- ????? ?????? ??????? ???????? ?? ????? ??????
?????, ??? ????? ????????? ????? ???????. - ((hedging
- ????? ?????? ??????? ?????? ?? ???????? ??? ?????
????? ?????? ?????????? ?????? ????????? ????????
- ????? ?????? ?????.
- ?????? ???? ?? ????? ???????? ?????? ?????? ?????
??????. - ????? ??????? ???? ?????? ?????.
- ????? ??????? ??????.
- ????? ?????? ?? ????? ??? ????? ??????? ????
????. - ????? ????? ??????? ????? ?????? ?????? ??? ?????
?????? ???. - ????? ????? ?????? ?? ??????? ???????? ???????
?????????.
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