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…
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…
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…
Liquidity Risk
After completing this reading, you should be in a position to: Explain and calculate liquidity trading risk via the cost of liquidation and liquidity-adjusted VaR (LVaR). Identify liquidity funding risk, funding sources, and lessons learned from real cases: Northern Rock,…
Factor Theory
After completing this reading, you should be able to: Give examples of factors that impact asset prices and describe the theory of factor risk premiums. Discuss the capital asset pricing model (CAPM), its assumptions, and how factor risk is addressed in…
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…
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…
