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Chapter 0:
Introduction |
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Chapter 1: Concept
of Value-at-Risks |
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1.1 Introduction To Value-at-Risk (VaR) |
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1.2 VaR Confidence Levels and Horizons |
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1.2.1 VaR
Confidence Levels
1.2.2 VaR Horizons |
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1.3 Back Testing |
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1.4 Stress Testing To Complement VaR |
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1.5 Conditional Value-at-Risk (C-VaR) |
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Chapter 2: Types of Financial Risk |
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2.1 Systematic Risk |
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2.1.1 General
Market Risk
- Directional Risk
- Non-Directional Risk |
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2.2 Non-systematic Risk |
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2.2.1 Credit
Risk
2.2.2 Event Risk
2.2.3 Liquidity Risk |
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2.3 Risk Interaction |
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Chapter 3:
Sources of Market Risk |
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3.1 Interest Rate Instruments |
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3.2 Foreign Exchange Instruments |
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3.3 Equity Instruments |
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-
Single-Index Model
- Multi-Index Model |
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3.4 Commodity Instruments |
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3.5 Summary |
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Chapter 4: Credit Risk |
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4.1 Settlements Risk |
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- The Failure
of Bankhaus Herstatt (1974)
- Bank of Credit and Commerce International (BCCI)
(1991) |
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4.2 Core Principles for Systemically Important Payment
Systems |
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4.2.1
Handling Settlements Risk |
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4.3 Pre-Settlement Risks |
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4.3.1
Elements of Credit Risk
- Probability of Default
- Definition of a Credit Default
- Exposure Given Default
- Loss Given Default |
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4.4 Principles For The Management of Credit Risk |
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- Establishing An Appropriate Credit Risk Environment
- Operating
Under A Sound Credit Granting Process
- Maintaining An Appropriate Credit Administration,
Measurement
and Monitoring Process
- Ensuring Adequate Controls Over Credit Risk
- The Role of Supervisors |
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Chapter 5: Operational Risk |
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5.1 Example of Operational Risk |
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- Barings
Futures Singapore Fiasco |
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5.2 Operational Risk Classification Scheme |
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5.3 Some Operational Risk Mitigating Strategies |
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- Training
- Systems
- Insurance
- Outsourcing |
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5.4 Sound Practices For The Management And Supervision
Of
Operational Risk |
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- Developing
an Appropriate Risk Management Environment
- Risk Management: Identification, Measurement,
Monitoring and
Control
- Role of Supervisors
- Role of Disclosure |
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Chapter 6: Good Risk Management Practices |
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6.1 Group of 30’s Report and Recommendations On The Use
Of Financial Derivatives |
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- The Group
of Thirty
- The Report
- The Global Derivatives Study |
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6.2 Recommended Risk Management Organizational Structure
and The Role of The Chief Risk Officer (CRO) |
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Chapter 7: The Basel Capital Accord |
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7.1 The Basel Committee |
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7.2 History Of The Basel Capital Standards |
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- The 1988
Basel Capital Accord
- The 1996 Amendment
- The June 1999 proposal
- The Proposed New Accord |
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7.3 Structure Of The New Accord |
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- The First
Pillar: Minimum Capital Requirement
- The Second Pillar: Supervisory Review Process
- The Third Pillar: Market Discipline |
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