Fundamental Review of the Trading Book (FRTB)
After completing this reading, you should be able to: Describe the changes to the Basel framework for calculating market risk capital under the Fundamental Review of the Trading Book (FRTB) and the motivations for these changes. Compare the various liquidity…
Netting, Close-out and Related Aspects
After completing this reading, you should be able to: Explain the purpose of an ISDA master agreement. Summarize netting and close-out procedures (including multilateral netting), explain their advantages and disadvantages, and describe how they fit into the framework of the…
Structured Credit Risk
After completing this reading, you should be able to: Describe common types of structured products. Describe tranching and the distribution of credit losses in a securitization. Describe a waterfall structure in a securitization. Identify the key participants in the securitization…
Margin (Collateral) and Settlement
After completing this reading, you should be able to: Describe the rationale for collateral management. Describe the terms of a collateral and features of a credit support annex (CSA) within the ISDA Master Agreement including threshold, initial margin, minimum transfer…
Exchanges and OTC Markets
After completing this reading, you should be able to: Describe how exchanges can be used to alleviate counterparty risk. Explain the developments in clearing that reduce risk. Describe netting and describe a netting process. Describe the implementation of a margining…
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…
