TY  - JOUR
AB  - The Arbor City Community Foundation (ACCF) was a medium-sized endowment established in Illinois in the late 1970s through the hard work of several local families. The vision of the ACCF was to be a comprehensive center 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 relating to the foundation assets. The investment committee, under the guidance of the board, pursued an active risk-management policy for the fund. The committee members were primarily concerned with the volatility and distribution of portfolio returns. They relied on the value-at-risk (VaR) methodology as a measurement of the risk of both short- and mid-term investment losses. In its report for the investment committee, the ACCF risk analytics team recommended the daily VaR at 95% confidence as a measure for short-term risk and reported the corresponding numbers. It is now the task of the investment committee to interpret these figures. The case questions guide the executive students to a critical evaluation of both the reported VaR figures as well as of the VaR methodology.Understanding the concept of value at risk (VaR); Interpreting the results of VaR calculations; Evaluating the appropriateness of VaR calculations; Critical discussion of the VaR methodology.
VL  - 
IS  - 
SN  - 2474-6568
DO  - 10.1108/case.kellogg.2016.000019
UR  - https://doi.org/10.1108/case.kellogg.2016.000019
AU  - Schmedders Karl
AU  - Walker Russell
AU  - Stritch Michael
PY  - 2017
Y1  - 2017/01/01
TI  - Arbor City Community Foundation: Executive Education Version
T2  - Kellogg School of Management Cases
PB  - Kellogg School of Management
SP  - 1
EP  - 5
Y2  - 2024/04/25
ER  -