The vision of the ACCF was to be a complete facility for philanthropy in the greater Arbor City region. ACCF had a fund balance (known collectively as "the fund") of just under $240 million. The ACCF board of trustees had appointed a committee to oversee investment decisions concerning the foundation assets. The committee members were mostly concerned with the unpredictability and distribution of portfolio returns.
They relied on the worth-at risk (VaR) methodology as a measurement of the danger of both short- and midterm investment losses. The questions in Part (A) of the case direct the pupils to analyze the danger inherent in both one special strength and the whole ACCF portfolio. For this particular investigation the students must compute monthly VaR values and daily VaR and interpret these developments in the circumstance of the risk management of ACCF. In Part (B) the foundation receives a major donation. As a consequence, the danger inherent in its portfolio changes drastically. The students are asked to evaluate the risk of the new portfolio of the fund and to do a portfolio rebalancing investigation.
PUBLICATION DATE: November 01, 2011 PRODUCT #: KEL585-PDF-ENG
This is just an excerpt. This case is about FINANCE & ACCOUNTING
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