Ch-25 SWAPS Overview
The market for swaps has grown enormously and
this has raised serious regulatory concerns
regarding credit risk exposures.
At the same time, the growth in exotic swaps such as
inverse floater have also generated controversy
Ch-22 Futures/Forwards Overview
Derivative securities have become increasingly
important as FIs seek methods to hedge risk
exposures. The growth of derivative usage is not
without controversy since misuse can increase risk.
This chapter explores the role
Chap 20 Overview
This chapter discusses the functions of
capital, different measures of capital
adequacy, current capital adequacy
requirements and advanced approaches used to calculate
adequate capital according to internal ratin
Chap-9 Interest Rate Risk
This chapter discusses a market value-based
model for assessing and managing interest rate
Computation of duration
Immunization using duration
*Problems in applying durati
Step-by-Step Hedging Procedure
Risk analysis of underlying cash position exposure.
Quantification of impact on the cash position of
interest rate/exchange rate changes.
State the goal of the hedge
Set up perfect hedge to use as
Ch-13 Off-Bal.Sheet Risk Overview
This chapter discusses the risks associated with offbalance-sheet activities.
OBS activities are often designed to reduce risks through
hedging with derivative securities and other means.
However, OBS risk can be substant
Ch-11 Credit Risk Overview
This chapter discusses types of loans, and the analysis and
measurement of credit risk on individual loans
Important for purposes of:
loans and bonds
limits on credit risk exposure
Credit Quality Problems
Ch-10 Market Risk Overview
This chapter discusses the nature of market risk and
RiskMetrics (delta normal)
Historic or back simulation
Monte Carlo simulation
Links between market risk and capital requirements