Risk Management

1. Introduction

2. Market Risk     

2.1. Introduction

2.2. Sensitivity Analysis

2.3. The Value at Risk (VaR) concept

   2.3.1. Definition

   2.3.2. Advantages of VaR as a measure of market risk

2.4. Calculating VaR

   2.4.1. First approximation: parametric VaR

   2.4.2. The Variance-Covariance approach

   2.4.3. The Delta – Normal approach

   2.4.4. The Montecarlo approach

   2.4.5. The Historical Simulation approach

   2.4.6. Comparison of the different methods

2.5. VaR extensions: Incremental VaR and DeltaVaR

2.6. VaR in practice

  2.6.1. Mapping

  2.6.2. Back-Testing and Stress-Testing

3. Credit Risk

3.1. Introduction

3.2. Single name credit risk: Default probabilities

   3.2.1. Risk rating systems

   3.2.2. Econometric models

   3.2.3. Contingent claim models

3.3. Portfolio credit risk: CreditVaR

  3.3.1. CreditMetrics

  3.3.2. Other methodologies