Abstract
Balance sheets are opaque concepts. In more than one way, the individual instruments in a balance sheet have no meaning by themselves. What is more, most large financial institutions carry a very large number of diverse instruments on their balance sheets, in many different branches and subsidiaries around the world. Even a careful analysis of financial tables and balance sheets will not show the exact positions and exposures the financial institution has taken. This is even before one can ask how one would value these positions.KeywordsRisk ManagementBalance SheetCredit RiskStochastic VolatilityMarket RiskThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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