Parametric Approaches (II): Extreme Value
After completing this reading, you should be able to: Explain the importance and challenges of extreme values in risk management. Describe extreme value theory (EVT) and its use in risk management. Describe the peaks-over-threshold (POT) approach. Compare and contrast generalized…
The Failure Mechanics of Dealer Banks
After completing this reading, you should be able to: Compare and contrast the main lines of business in which dealer banks operate and the risk factors they encounter in each of the lines. Identify circumstances that can cause a liquidity…
Futures Markets
After completing this reading, you should be able to: Define and describe the key features and specifications of a futures contract, including the underlying asset, the contract price and size, trading volume, open interest, delivery, and limits. Explain the convergence…
Central Clearing
After completing this reading, you should be able to: Provide examples of the mechanics of a central counterparty (CCP). Describe the role of CCPs and distinguish between bilateral and centralized clearing. Describe the advantages and disadvantages of the central clearing…
Using Futures for Hedging
After completing this reading, you should be able to: Define and differentiate between short and long hedges and identify their appropriate uses. Describe the arguments for and against hedging and the potential impact of hedging on firm profitability. Define the…
Liquidity Stress Testing
After completing this reading, you should be able to: Differentiate between various types of liquidity, including funding, operational, strategic, contingent, and restricted liquidity. Estimate contingent liquidity via the liquid asset buffer. Discuss the matters about the liquidity stress test design,…
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…
The Investment Function in Financial-services Management
After completing this reading, you should be able 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. Apply…
Liquidity Risk Reporting and Stress Testing
After completing this reading, you should be able to: Identify best practices for the reporting of a bank’s liquidity position. Compare and interpret different types of liquidity risk reports. Explain the process of reporting a liquidity stress test and interpret…
Insurance Companies and Pension Plans
After completing this reading, you should be able to: Describe the key features of the various categories of insurance companies and identify the risks facing insurance companies. Describe the use of mortality tables and calculate the premium payment for a…
