(Part.1) FOUNDATIONS OF RISK MANAGEMENT

Transcription

1 (Part.1) FOUNDATIONS OF RISK MANAGEMENT 1 : Risk Taking: A Corporate Governance Perspective Delineating Efficient Portfolios 2: The Standard Capital Asset Pricing Model 1 : Risk : A Helicopter View 2: Corporate Risk : A Primer 3: Corporate Governance and Risk 3: Arbitrage Pricing Theory and Multifactor Models of Risk and Return 4: Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators 5: Understanding and Communicating Risk Appetite 6: Information Risk and Data Quality 4: What is ERM? 5: Implementing Robust Risk Appetite Frameworks to Strengthen Financial Institutions 6: Financial Disasters 7: The Credit Crisis of : Risk Failures: What Are They and When Do They Happen? 7: Financial Disasters Delineating Efficient Portfolios 8: Risk Failures: What 9: The Standard Capital Asset Pricing - Are They and When Do They Happen? Model 9: GARP Code of Conduct 10: Applying the CAPM to Performance Measurement: 11: Arbitrage Pricing Theory and Multifactor Models of Risk and Return 12: Information Risk and Data Quality 13: Principles for Effective Data Aggregation and Risk Reporting 14: GARP Code of Conduct:

2 (Part.1) QUANTITATIVE ANALYSIS The Time Value of Money The Time Value of Money 10: Probabilities 15: Probabilities 11: Basic Statistics 16: Basic Statistics 12: Distributions 17: Distributions 13: Hypothesis Testing and Confidence Intervals 14: Linear Regression with One Regressor 15: Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals 16: Linear Regression with Multiple Regressors 17: Hypothesis Tests and Confidence Intervals in Multiple Regression 18: Simulation Modeling 19: Estimating Volatilities and Correlations 18: Bayesian Analysis 19: Hypothesis Testing and Confidence Intervals 20: Correlations and Copulas 21: Linear Regression with One Regressor 22: Regression with a Single Regressor: Hypothesis Tests and Confidence Intervals 23: Linear Regression with Multiple Regressors 24: Hypothesis Tests and Confidence Intervals in Multiple Regression 25: Modeling and Forecasting Trend 26: Characterizing Cycles 27: Modeling Cycles: MA, AR, and ARMA Models 28: Estimating Volatilities and Correlations for Risk 29: Simulation Modeling

3 (Part.1) FINANCIAL MARKETS AND PRODUCTS 20: Introduction: Futures and Options 30: Introduction: Futures and Options Markets Markets 21: Futures Industry Institutions and 31: Futures Industry Institutions and Professionals Professionals 22: Hedging with Futures and Options 32: Hedging with Futures and Options 23: Introduction (Options, Futures, and Other Derivatives) 33: Introduction (Options, Futures, and Other Derivatives) 24: Mechanics of Futures Markets 34: Mechanics of Futures Markets 25: Hedging Strategies Using Futures 35: Hedging Strategies Using Futures 26: Interest Rates 36: Interest Rates 27: Determination of Forward and Futures Prices 37: Determination of Forward and Futures Prices 28: Interest Rate Futures 38: Interest Rate Futures 29: Swaps 39: Swaps 30: Properties of Stock Options 40: Mechanics of Options Markets 31: Trading Strategies Involving Options 32: Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges, and Strategies 33: Commodity Forwards and Futures 41: Properties of Stock Options 42: Trading Strategies Involving Options 43: Exotic Options 34: Foreign Exchange Risk 44: Commodity Forwards and Futures 35: Corporate Bonds 45: Foreign Exchange Risk 36: The Rating Agencies 46: Corporate Bonds 47: Mortgages and Mortgage-Backed Securities 48: The Rating Agencies

4 (Part.1) VALUATION AND RISK MODELS VaRMethods VaRMethods 37: Measures of Financial Risk 49: Quantifying Volatility in VaR Models 38: Quantifying Volatility in VaR Models 50: Putting VaR to Work 39: Putting VaR to Work 51: Measures of Financial Risk 40: Binomial Trees 52: Stress Testing 41: The Black-Scholes-Merton Model 53: Principles for Sound Stress Testing Practices and Supervision 42: The Greek Letters 54: Binomial Trees 43: Prices, Discount Factors, and Arbitrage 55: The Black-Scholes-Merton Model 44: Spot, Forward, and Par Rates 56: Greek Letters 45: Returns, Spreads, and Yields 57: Prices, Discount Factors, and Arbitrage 46: One-Factor Risk Metrics and 58: Spot, Forward, and Par Rates 47: Multi-Factor Risk Metrics and 59: Returns, Spreads, and Yields 48: Empirical Approaches to Risk 60: One-Factor Risk Metrics and Metrics and 61: Multi-Factor Risk Metrics and 49: Assessing Country Risk 50: Country Risk Assessment in Practice 51: External and Internal Ratings 62: Assessing Country Risk 63: Country Risk Assessment in Practice 52: Loan Portfolios and Expected Loss 64: External and Internal Ratings 53: Unexpected Loss 65: Capital Structure in Banks 54: Operational Risk 66: Operational Risk 55: Stress Testing 56: Principles for Sound Stress Testing Practices and Supervision

5 (Part.2) Market Risk Measurement and 1: Estimating Market Risk Measures 1. Estimating Market Risk Measures 2: Non-parametric Approaches 2. Non-parametric Approaches 3: Modeling Dependence: Correlations and 3. Parametric Approaches (II): Extreme Value Copulas 4: Parametric Approaches (II): Extreme Value 4. Backtesting VaR 5: Backtesting VaR 5. VaR Mapping 6: VaR Mapping 7: The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk 8: Incorporating Volatility Updating into the Historical Simulation Method for Value at Risk 9: Messages from the Academic Literature on Risk Measurement for the Trading Book 10: LIBOR vs. OIS: The Derivatives Discounting Dilemma 6. Messages from the Academic Literature on Risk Measurement for the Trading Book 7. Some Correlation Basics: Properties, Motivation, Terminology 8. Empirical Properties of Correlation: How Do Correlations Behave in the Real World? 9. Statistical Correlation Models-Can We Apply Them to Finance? 10. Financial Correlation Modeling-Bottom-Up Approaches 11: The Science of Term Structure Models 11. Empirical Approaches to Risk Metrics and 12: The Evolution of Short Rates and the 12. The Science of Term Structure Models Shape of the Term Structure 13: The Art of Term Structure Models: Drift 13. The Evolution of Short Rates and the Shape of the Term Structure 14: The Art of Term Structure Models: 14. The Art of Term Structure Models: Drift Volatility and Distribution 15: Volatility Smiles 16: Exotic Options 17: Basics of Residential Mortgage Backed Securities 18: Overview of Mortgages and the Consumer Mortgage Market 19: Overview of the Mortgage-Backed Securities Market 20: Techniques for Valuing MBS 15. The Art of Term Structure Models: Volatility and Distribution 16. OIS Discounting, Credit Issues, and Funding Costs 17. Volatility Smiles

6 (Part.2) CREDIT RISK MEASUREMENT AND MANAGEMENT 21: The Credit Decision 18: The Credit Decision 22: The Credit Analyst 19: The Credit Analyst 23: Default Risk: Quantitative 20: Default Risk: Quantitative Methodologies Methodologies 24: Credit Risks and Credit Derivatives 21: Credit Risks and Credit Derivatives 25: Credit and Counterparty Risk 22: Credit and Counterparty Risk 26: Spread Risk and Default Intensity 23: Spread Risk and Default Intensity Models Models 27: Portfolio Credit Risk 24: Portfolio Credit Risk 28: Structured Credit Risk 25: Structured Credit Risk 29: Defining Counterparty Credit Risk 26: Defining Counterparty Credit Risk 30: Netting, Compression, Resets, and 27: Netting, Compression, Resets, and Termination Features Termination Features 31: Collateral 28: Collateral 32: Credit Exposure 29: Credit Exposure 33: Default Probability, Credit Spreads, 30: Default Probability, Credit Spreads, and Credit Derivatives and Credit Derivatives 34: Credit Value Adjustment 31: Credit Value Adjustment 35: Wrong-Way Risk 32: Wrong Way Risk 36: Credit Derivatives and Credit- 33: Credit Derivatives and Credit- Linked Notes Linked Notes 37: The Structuring Process 34: The Structuring Process 38: Securitization 35: Securitization 39: Cash Collateralized Debt 36: Cash Collateralized Debt Obligations Obligations 40: Understanding the Securitization 37: Understanding the Securitization of Subprime Mortgage Credit of Subprime Mortgage Credit

7 (Part.2) OPERATIONAL AND INTEGRATED RISK MANAGEMENT 41: Principles for the Sound of Operational Risk 42: A Review of the Key Issues in Operational Risk Capital Modeling 43: Challenges and Pitfalls in Measuring Operational Risk from Loss Data 44: Enterprise Risk : Theory and Practice 45: Capital Allocation and Performance Measurement 46: Range of Practices and Issues in Economic Capital Frameworks 38: Principles for the Sound of Operational Risk 39: Enterprise Risk : Theory and Practice 40: Internal Loss Data 41: External Loss Data 42: Capital Modeling 43: Operational Risk-Supervisory Guidelines for the Advanced Measurement Approaches 47: Estimating Liquidity Risks 44: Estimating Liquidity Risks 48: Model Risk 45: Model Risk 49: Assessing the Quality of Risk Measures 46: Assessing the Quality of Risk Measures 50: Liquidity and Leverage 47: Liquidity and Leverage 51: Observations on Developments in Risk Appetite Frameworks and IT Infrastructure 48: Repurchase Agreements and Financing 52: Principles for Effective Data Aggregation and Risk Reporting 53: Stress Testing Banks 54: Failure Mechanics of Dealer Banks 55: Basel II: International Convergence of Capital Measurement and Capital Standards 56: Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems 57: Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools 58: Revisions to the Basel II Market Risk Framework 59: Operational Risk-Supervisory Guidelines for the Advanced Measurement Approaches 60: A Comparative Assessment of Basel IIIIII and Solvency II 49: Observations on Developments in Risk Appetite Frameworks and IT Infrastructure 50: Capital Allocation and Performance Measurement 51: Range of Practices and Issues in Economic Capital Frameworks 52: Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice 53: Stress Testing Banks 54: The Failure Mechanics of Dealer Banks 55: Basel I, Basel II, and Solvency II 56: Basel 2.5, Basel III, and Dodd-Frank 57: Basel II: International Convergence of Capital Measurement and Capital Standards

8 58: Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems 59: Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools 60: Revisions to the Basel II Market Risk Framework

9 (Part.2) RISK MANAGEMENT AND INVESTMENT MANAGEMENT 61: Portfolio Construction 61: Portfolio Construction 62: Portfolio Risk: Analytical Methods 62: Portfolio Risk: Analytical Methods 63: VaR and Risk Budgeting in Investment 63: VaR and Risk Budgeting in Investment 64: Risk Monitoring and Performance 64: Risk Monitoring and Performance Measurement Measurement 65: Portfolio Performance Evaluation 65: Portfolio Performance Evaluation 66: Performing Due Diligence on Specific Managers and Funds 66: Illiquid Assets 67: Hedge Funds 67: Hedge Funds 68: Risk for Hedge Funds: Introduction and Overview 68: Performing Due Diligence on Specific Managers and Funds (Part.2) CURRENT ISSUES IN FINANCIAL MARKETS 69: U.S. House of Representatives Subcommittee 69: Clearinghouse Overconfidence Report on MF Global 70: JPMorgan Chase Whale Trades: A Case History of Derivatives Risks and Abuses-Executive Summary 71: Towards Better Reference Rate Practices: A Central Bank Perspective 72: OTC Derivatives: A Comparative Analysis of Regulation in the United States, European Union, and Singapore 73: A New Look at the Role of Sovereign Credit Default Swaps 74: Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice 75: Sovereign Creditworthiness and Financial Stability: An International Perspective 70: High-Frequency Trading and Its Impact on Markets 71: Controlling Risk in a Lightning-Speed Trading Environment 72: How Do Exchanges Control the Risks of High Speed Trading? 73: How Do Proprietary Trading Firms Control the Risks of High Speed Trading? 74: Report on Cyber Security in the Banking Sector 75: Framework for Improving Critical Infrastructure Cybersecurity 76: The Changing Landscape for Derivatives 77: Valuing Derivatives: Funding Value Adjustments and Fair Value