The U.S. Dollar Shortage in Global Banking and the International Policy Response
After completing this reading, you should be able to: Identify the causes of the U.S. Dollar shortage during the Great Financial Crisis. Evaluate the importance of assessing maturity/currency mismatch across the balance sheets of consolidated entities. Discuss how central bank…
Contingency Funding Planning
After completing this reading, you should be able to: Discuss the relationship between contingency funding plan and liquidity stress testing. Evaluate the key design considerations of a sound contingency funding plan. Assess the key components of a contingency funding plan…
Introduction to Operational Risk and Resilience
After completing this reading, you should be able to: Describe an operational risk management framework and assess the types of risks that can fall within the scope of such a framework. Describe the seven Basel II event risk categories…
Liquidity and Leverage
> After completing this reading, you should be able to: Differentiate between sources of liquidity risk and describe specific challenges faced by different types of financial institutions in managing liquidity risk. Summarize the asset-liability management process at a fractional reserve…
Monitoring Liquidity
After completing this chapter, you should be 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 bank’s…
Factors
After completing this reading, you should be able to: Describe the process of value investing and explain the reasons why a value premium may exist. Explain how different macroeconomic risk factors, including economic growth, inflation, and volatility affect risk premiums…
Backtesting VaR
After completing this reading, you should be able to: Describe backtesting and exceptions and explain the importance of backtesting VaR models. Explain the significant difficulties in backtesting a VaR model. Verify a model based on exceptions or failure rates. Identify…
Credit Value Adjustment (CVA)
After completing this reading, you should be able to: Explain the motivation for and the challenges of pricing counterparty risk. Describe credit value adjustment (CVA). Calculate CVA and CVA as a spread with no wrong-way risk, netting, or collateralization. Evaluate…
Counterparty Risk and Beyond
After completing this reading, you should be able to: Describe counterparty risk and differentiate it from lending risk. Describe transactions that carry counterparty risk and explain how counterparty risk can arise in each transaction. Identify and describe institutions that…
Illiquid Assets
After completing this reading, you should be able to: Explain the essential features of illiquid markets. Explain the effects of market imperfections on illiquidity. Assess the effects of biases on the reported illiquid asset returns. Explain the Geltner-Ross-Zisler unsmoothing process…
