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Measuring and managing market, credit and Op risk [79]

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Bullet points include: Equity market exposure: futures, other equities, ETFs, sector instruments, Equity volatility – options, variance swaps, dynamic hedging Interest rates and interest rate volatility: interest rate swaps (IRS), (other) bonds, caps, collars, swaptions [N.B. bear in mind importance of tenor of cash rate underlying the IRS] Currencies: forwards, futures (and NDFs in some exotic currencies) Credit exposures: credit default swaps (single name and index), other bonds, tranche (or n’th to default) CDS Insurance: reinsurance, securitisations

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