Part 2
Information Risk and Data Quality Management
After completing this reading you should be able to: Identify the most common issues that result in data errors. Explain how a firm can set expectations for its data quality and describe some key dimensions of data quality used in…
Standardized Measurement Approach for Operational Risk
The Basel Committee emphasizes consistency in implementing post-crisis controlling reforms. This consistency improves the flexibility in the banking system, promotes public sureness, and brings a level playing field for international banks. In 2014, a committee addressed flaws in the current…
Classifications and Key Concepts of Credit Risk
Classification Default Model and Value-based Valuations A borrower’s default constitutes default risk. On the other hand, in case of default, the amount recovered is usually than the amount lent. The risk associated with this is referred to as recovery risk….
Spread Risk and Default Intensity Models
After completing this reading, you should be able to: Compare the different ways of representing credit spreads. Compute one credit spread, given others when possible. Define and compute the Spread ‘01. Explain how default risk for a single company can…
Credit Risk Measurement and Management
1. The Credit Decision 2. The Credit Analyst 3. Capital Structure in Banks 4. Rating Assignment Methodologies 5. Credit Risks and Credit Derivatives 6. Spread Risk and Default Intensity Models 7. Portfolio Credit Risk 8. Structured Credit Risk 9. Counterparty Credit Risk 10. Netting, Compression, Resets, and Termination Features 11. Collateral…
Counterparty Risk Intermediation
After completing this reading, you should be able to: Identify counterparty risk intermediaries, including central counterparties (CCPs), derivative product companies (DPCs), special purpose vehicles (SPVs), and monoline insurance companies (monolines) and describe their roles. Describe the risk management process of…
CVA (Part A)
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 the CVA spread with no wrong-way risk, netting, or collateralization. Evaluate the…
External Loss Data
External loss data is used in the operational risk framework to provide input to any operational risk calculation and valuable insights into these different forms of the risks. This external data in the advanced measurement approach (AMA) capital calculation is…
Credit Risks and Credit Derivatives
After completing this reading, you should be able to: Use the Merton model to calculate the value of a firm’s debt and equity and the volatility of firm value. Explain the relationship between credit spreads, time to maturity, and interest…
Repurchase Agreements and Financing
After completing this reading, you should be able to: Describe the mechanics of repurchase agreements (repos) and calculate the settlement for a repo transaction. Discuss common motivations for entering into repos, including their use in cash management and liquidity management….
