Foundations of Risk Management
1. The Building Blocks of Risk Management 2. How Do Firms Manage Financial Risk? 3. The Governance of Risk Management 4. Credit Risk Transfer Mechanisms 5. Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM) 6. The Arbitrage Pricing Theory and Multifactor Models of…
Regression with Multiple Explanatory Variables
After completing this reading, you should be able to: Distinguish between the relative assumptions of single and multiple regression. Interpret regression coefficients in multiple regression. Interpret goodness of fit measures for single and multiple regressions, including R2 and adjusted R2….
Risks faced by CCPs: Risks caused by CCPs
After completing this reading, you should be able to: Identify and explain the types of risks faced by CCPs. Identify and distinguish between the risks to clearing members as well as non-members. Identify and evaluate lessons learned from prior CCP…
Governance over Stress Testing
After completing this reading, you should be able to: Describe the key elements of effective governance over stress testing. Describe the responsibilities of the board of directors and senior management in stress testing activities. Identify elements of clear and comprehensive…
Basic Statistics
After completing this reading, you should be able to: Interpret and apply the mean, standard deviation, and variance of a random variable. Calculate the mean, standard deviation, and variance of a discrete random variable. Interpret and calculate the expected value…
Fundamentals of Probability
After completing this reading, you should be able to: Describe an event and an event space. Describe independent events and mutually exclusive events. Explain the difference between independent events and conditionally independent events. Calculate the probability of an event for…
Properties of Interest Rates
After completing this reading, you should be able to: Describe the various categories of interest rates (Treasury rates, LIBOR, Secured Overnight Financing Rate (SOFR) and repo rates, Swaps, and explain what is meant by the “risk-free” rate). Calculate the value…
Interest Rate Futures
After completing this reading, you should be able to: Identify the most commonly used day count conventions, describe the markets that each one is typically used in, and apply each to an interest calculation. Calculate the conversion of a discount…
Calculating and Applying VaR
After completing this reading, you should be able to: Explain and give examples of linear and non-linear portfolios. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach and use it to calculate VaR…
Exotic Options
After completing this reading, you should be able to: Define and contrast exotic derivatives and plain vanilla derivatives. Describe some of the factors that drive the development of exotic products. Explain how any derivative can be converted into a zero-cost…
