Measuring and managing market, credit and Op risk [39]

Go to: Summary | Previous | Next   
Bullet points include: Traditionally handled by modelling short term risk over e.g. 1 day, 5 day, 1 month horizons using statistical models of return volatility Books of complex exposures decomposed into exposures to notional risk factors, e.g.: Equity spreads, FX rates (equity or currency market risk) Points on government, swap or corporate yield curves (interest rate market risk) Credit spreads (credit market risk, but is this credit risk?) Derivatives are either repriced using these risk factors or decomposed into delta or delta-gamma-vega approximations or the like (c.f. dynamic hedging, see later)

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile