Intraday Liquidity Risk Management

After completing this reading, you should be able to: Identify and explain the uses and sources of the Intraday liquidity Discuss the governance structure of the intraday risk liquidity management Differentiate between methods for tracking intraday flows and monitoring risk…

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Monitoring Liquidity

After completing this chapter, you should be able in a position to; Distinguish between deterministic and stochastic cash flows and provide examples of each. Describe and provide examples of liquidity options and explain the impact of liquidity options on a…

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Asset Pricing Models

Mean-variance portfolio theory shows how an individual investor can characterize the relationship between risk and return for a particular security. In the case of Asset Pricing Models, it attempts to characterize the entire investment market on the assumption that the…

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Mean-Variance Portfolio Theory

Although adopting a portfolio approach to investing seems intuitive, the theory behind this diversification concept follows the work of Harry Markowitz’s 1952 publication and is now known as Modern Portfolio Theory (MPT) or more commonly Mean-Variance Portfolio theory. The principle…

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Liquidity and Reserves Management: Strategies and Policies

At the end of this chapter, you should be able to: Calculate a bank’s net liquidity position and explain factors that affect the supply and demand for liquidity at a bank. Compare the strategies that a bank can use to…

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The Investment Function in Financial-Services Management

After completing this reading, you should be in a position to: Compare various money market and capital market instruments and discuss their advantages and disadvantages. Identify and discuss various factors that affect the choice of investment securities by a bank….

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Early Warning Indicators

After completing this chapter, you should be in a position to: Evaluate the characteristics of sound Early Warning Indicators (EWI) measures. Identify EWI guidelines from banking regulators and supervisors (OCC, BCBS, Federal Reserve). Discuss the applications of EWIs in the…

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Foreign Exchange Markets

After completing this topic, you should be able to: Explain ad describe the mechanics of spot quotes, forward quotes and future quotes  in the foreign exchange market and distinguish between the bid and ask exchange rates Calculate bid-ask spread and…

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Enterprise Risk Management and Future Trends

After completing this reading, you should be able to: Describe Enterprise Risk Management (ERM) and compare an ERM program with a traditional silo-based risk management program. Compare the benefits and costs of ERM and describe the motivations for a firm…

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Regression Diagnostics

After completing this reading, you should be able to: Explain how to test whether regression is affected by heteroskedasticity. Describe approaches to using heteroskedastic data. Characterize multicollinearity and its consequences; distinguish between multicollinearity and perfect collinearity. Describe the consequences of…

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