The Credit Analyst
After completing this reading, you should be able to: Describe the quantitative, qualitative, and research skills a banking credit analyst is expected to have. Assess the quality of various sources of information used by a credit analyst. Explain the CAMEL…
Banks
After completing this reading, you should be able to: Identify the major risks faced by a bank and how these risks can arise. Distinguish between economic capital and regulatory capital. Summarize Basel Committee regulations for regulatory capital and their motivations….
Fund Management
After completing this reading, you should be able to: Differentiate among open-end mutual funds, closed-end mutual funds, and exchange-traded funds (ETFs). Calculate the net asset value (NAV) of an open-end mutual fund. Understand the various potential undesirable behaviors in trading…
Estimating Market Risk Measures
After completing this reading, you should be able to: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Estimate the expected shortfall given P/L or return data. Describe coherent…
Risk Data Aggregation and Reporting Principles
After completing this reading, you should be able to: Explain the potential benefits of having effective risk data aggregation and reporting. Explain challenges to the implementation of a strong risk data aggregation and reporting process and the potential impacts of…
Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM)
After completing this reading, you should be able to: Explain modern portfolio theory and interpret the Markowitz efficient frontier. Understand the derivation and components of the CAPM. Describe the assumptions underlying the CAPM. Interpret and compare the capital market line…
GARP Code of Conduct
After completing this reading, you should be able to: Describe the responsibility of each GARP Member concerning professional integrity, ethical conduct, conflicts of interest, the confidentiality of information, and adherence to generally accepted practices in risk management. Describe the potential…
Introduction to Derivatives
After completing this reading, you should be able to: Define derivatives, describe the features and uses of derivatives, and compare linear and non-linear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each….
Liquidity Risk
After completing this reading, you should be in a position to: Explain and calculate liquidity trading risk via the cost of liquidation and liquidity-adjusted VaR (LVaR). Identify liquidity funding risk, funding sources, and lessons learned from real cases: Northern Rock,…
Learning From Financial Disasters
After completing this reading, you should be able to: Analyze the key factors that led to and derive the lessons learned from case studies involving the following risk factors: Interest rate risk, including the 1980s savings and loan crisis in…
