Over the past few years, operational risk has gained much attention in the ... Continue reading
PRM Exam III
Bond Duration and Convexity Simplified â …
As we learnt in part 1, the duration, as measured by the slope of the curve, ... Continue reading
Major Types of Return Measures …
For the purpose of portfolio construction, the financial assets are ... Continue reading
Mitigation of Market Risk in Fund Manage …
Market Risk Management in Fund Managemen …
Several individuals have a higher appetite for risk and seek higher returns. ... Continue reading
What does the Market Risk Department Do? …
Market risk is unavoidable but not unmanageable. Market risk tends to occur ... Continue reading
Types of Operational Risk …
The financial institutions encounter a variety of operational risks on a ... Continue reading
Impact of Volatility Clustering on Value …
We have seen that volatility clustering is a common phenomenon observed in ... Continue reading
Models of Volatility Clustering: EWMA an …
Volatility clustering is one of the most important characteristics of ... Continue reading
VaR Calculation: The Assumptions of Stan …
While calculating VaR using one of the statistical models, we make many ... Continue reading
Problems with the VaR Models …
We have learned about three important Value-at-Risk models that are most ... Continue reading
Economic Capital Calculation: Approaches …
We know that economic capital is the amount of capital a bank needs to ... Continue reading
Regulatory Capital Vs. Economic Capital …
Unlike a corporation, the role of capital within a bank is not that of an ... Continue reading
Stock Market Distribution …
There is no doubt that the way our stock markets and other financial markets ... Continue reading
Backtesting Value at Risk (VaR) …
In the previous articles we learned a lot about how VaR is calculated using ... Continue reading
Mapping Complex Financial Positions …
We have now learned about how VaR can be calculated for primitive positions ... Continue reading
Mapping Futures/Forward Positions to Ris …
We have learned about how various complex positions can be broken down into ... Continue reading
Mapping Zero-coupon Bonds to Risk Factor …
We earlier learned that VaR calculation of a complex portfolio can be ... Continue reading
Mapping Equity Positions …
Equity positions are a bit more tricky compared to the FX positions. The ... Continue reading
Credit Officer: Long Term Tasks …
We have seen till now that a credit officer’s tasks include daily monitoring ... Continue reading