Topic: PRM Exam

Mapping Zero-coupon Bonds to Risk Factors

We earlier learned that VaR calculation of a complex portfolio can be simplified by decomposing the instruments into building blocks, or primitive instruments, which are further mapped to a small set of risk factors. Zero-coupon bonds are one such primitive instrument...

Orange County Case

The importance of a good risk management team that oversees investments is critical in an institution. This is especially more so for a County. The Orange County ran into very troubled investment waters in 1994. Litigation and a buoyant economy helped right many of...

Mapping Equity Positions

Equity positions are a bit more tricky compared to the FX positions. The main problem arises while dealing with the correlations between the different equity positions. As the number of positions in the equity portfolio increases, the correlation matrix can become...

Credit Officer: Long Term Tasks

We have seen till now that a credit officer’s tasks include daily monitoring of limits and provisions and scanning other risks and their impact. There are some tasks which he needs to undertake only on an annual basis, but are important nevertheless. Strategy Review:...

Provision for Loan Loss

The FDIC reported in the first quarter of 2011 that provision for loan losses fell less than half compared to the previous year. It reports that provisions for loan losses fell to $20.7 billion in the first quarter from $51.6 billion a year earlier. This marks the...

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