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.
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 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