Risk Management Tools and Practices

Description

In this course, you will :

• Define the basis and the various sources of basic risk, as well as how basis risks arise when using futures to hedge.
• Define cross hedging, as well as the hedge ratio with the lowest variance and hedge effectiveness.
• Define and interpret the optimal number of futures contracts required to hedge a risk, including a "tailing the hedge" adjustment.
• Show how to use stock market index futures contracts to change the beta of a stock portfolio.
• Learn about the covered call and protective put strategies.
• Understand the benefits and drawbacks of various option spread strategies.
• Describe a typical commercial bank's ALM function.
• Recognize the balance-sheet risks associated with funding and duration gaps.
• Define, compare, and contrast economic, risk, and regulatory capital.

Syllabus :

1. Risk Reporting

• Profit Distribution
• Risk by Risk Factor
• Risk Over Time

2. Model Risk

• Sources of Model Risk
• VaR Back Testing
• VaR Exceptions
• VaR Exposure Monitoring

 

3. Risk Management Tools

• Equity Swaps
• Hedging with Index Futures

 

4. Liquidity and Operational Risk Management

• Liquidity
• Liquidity Risk
• Operational Risk Management

 

5. Asset and Liability Management

• Interest Rate Risk
• Duration Gap Risk
• Balance Sheet Immunization
• Duration Gap vs Funding Gap
• Banking Book vs Trading Book
• ALM Governance

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