Banking Risk
"Banking Risk" Module is part of the "Certified Chief Risk Officer (C-CRO)" training program.
Description
About
Subject Areas
Introduction to Risk Management
Lessons from financial disasters
Brief history of risk metrics and risk management techniques
Introduction to different metrics: Value at Risk, Expected Shortfall, Potential Future Exposure
Real world asset dynamics
VaR: Historical simulation
Advantages and disadvantages
Error estimation techniques
Refinements and improvements
Filtered historical simulation
VaR: Parametric evaluation
Basic formulation and Matrix notation
Marginal, incremental and component VaR
Factor loadings
Variance – covariance matrix
Minimum Variance Hedge
VaR: Monte Carlo simulation
Value at risk: Monte Carlo simulation
Monte Carlo applications in finance
Long term market simulations
Non-linear derivatives (options)
Hedge effectiveness
Credit risk
Credit instruments and asymmetric payoffs
Returns of credit portfolios
Modeling the credit event
Merton model
Credit-metrics approach
Single factor model and Basel II formulas
Where market and credit risk intersect: Credit Valuation Adjustment
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