Basel II - An Overview
8 chapters
⚠️ Risk Management
Learn comprehensive approaches to financial risk assessment. Master risk measurement and management techniques.
Ebooks
Credit Risk Management
10 chapters
Probability Distributions
7 chapters
Foundations of Credit Risk Modelling
6 chapters
Identifying Risks
8 chapters
Introduction to Quantitative Finance
6 chapters
Mapping Positions to Risk Factors
7 chapters
Measures of Leverage
6 chapters
Quantitative Methods
17 chapters
Risk Management Case Studies
12 chapters
Risk Management Failure
7 chapters
Risk Management in Trading Activities
11 chapters
Risks of Investing in Bonds
17 chapters
Sampling and Estimation
15 chapters
Statistical Foundations of VaR
8 chapters
Understanding Portfolio Math
8 chapters
Value at Risk
7 chapters
VaR Mapping
6 chapters
Volatility
8 chapters
Articles
November 10, 2021 · Chapter
Breakeven Analysis
November 10, 2021 · Chapter
Impact of Financial Leverage on Net Income and ROE
November 10, 2021 · Chapter
Leverage, Business Risk, and Financial Risk
November 19, 2019 · Chapter
How Insurance Companies Calculate Risk
November 12, 2019 · Chapter
Credit Risk Modelling - Case Studies
October 29, 2019
Role of Data Science in Risk Management
September 29, 2016
Hedge Funds, Leverage, and the Lessons of Long-Term Capital Management - Report
September 27, 2016
The Black Swan: The Impact of the Highly Improbable - Book Review
July 4, 2014 · Chapter
Biases in Sampling
July 4, 2014 · Chapter
Confidence Interval for a Population Mean, when the Distribution is Non-normal
July 4, 2014 · Chapter
Confidence Interval for a Population mean, with an Unknown Population Variance
July 4, 2014 · Chapter
How to Read Student’s t Table
July 4, 2014 · Chapter
Student’s t Distribution
June 15, 2014 · Chapter
Confidence Interval Estimates
June 15, 2014 · Chapter
Confidence Interval for a Population mean, with a known Population Variance
June 15, 2014 · Chapter
Point Estimates
June 12, 2014 · Chapter
Parameter Estimation
June 12, 2014 · Chapter
Standard Error of the Sample Mean
June 11, 2014 · Chapter
Central Limit Theorem
June 11, 2014 · Chapter
Sampling Error
June 11, 2014 · Chapter
Simple Random Sampling and Sampling Distribution
June 11, 2014 · Chapter
Stratified Random Sampling
June 11, 2014 · Chapter
Time Series and Cross Sectional Data
October 16, 2013 · Chapter
How to Calculate Degree of Operating Leverage
October 16, 2013 · Chapter
Degree of Financial Leverage
October 16, 2013 · Chapter
Degree of Total Leverage
July 9, 2013
Role of Risk Management
April 18, 2013
How Companies Choose Their Risk Profile
April 18, 2013
Operational Risk Losses in Practice
April 5, 2013 · Chapter
Event Risk and Sovereign Risk in Bonds
April 4, 2013 · Chapter
Exchange Rate Risk in Bonds
April 4, 2013 · Chapter
Inflation Risk in Bonds
April 4, 2013 · Chapter
Volatility Risk in Bonds with Embedded Options
April 3, 2013 · Chapter
Credit Risk in Bonds
April 3, 2013 · Chapter
Liquidity Risk in Bonds
April 3, 2013 · Chapter
Reinvestment Risk in Bonds
March 22, 2013 · Chapter
Bond Duration and Convexity Simplified – Part 2 of 2
March 22, 2013 · Chapter
Call and Prepayment Risk
March 22, 2013 · Chapter
Yield Curve Risk
March 21, 2013 · Chapter
Bond Duration and Convexity Simplified – Part 1 of 2
March 21, 2013 · Chapter
Impact of Yield Level on Bond’s Price Sensitivity
March 21, 2013 · Chapter
Interest Rate Risk of Floating-rate Bonds
March 21, 2013 · Chapter
Price of a Callable Bond
March 20, 2013 · Chapter
Bond Features Affecting Interest Rate Risk
March 20, 2013 · Chapter
Understanding Inverse Price/Yield Relationship in Bonds
March 19, 2013 · Chapter
Independent and Identically Distributed Variables
March 19, 2013 · Chapter
Key Risks Associated with Investing in Bonds
March 19, 2013 · Chapter
Linear Combinations of Random Variables
March 14, 2013 · Chapter
Paramteric vs Non-Parametric Distributions
March 14, 2013 · Chapter
Properties of Bernoulli Distribution
March 14, 2013 · Chapter
Properties of Log-Normal Distribution
March 14, 2013 · Chapter
Properties of Normal Distribution
March 13, 2013 · Chapter
Properties of Uniform Distribution
March 11, 2013 · Chapter
Case Study: Equity Derivative Losses at UBS
March 8, 2013
Perspectives on Liquidity Stress Testing (Iceland Example)
March 7, 2013
Risk Management for Hedge Funds
March 7, 2013
Stress Testing Banks
March 6, 2013 · Chapter
Bankers Trust Case Study
March 6, 2013
Principles for the Sound Management of Operational Risk
March 5, 2013
Enterprise Risk Management: Theory and Practice
March 5, 2013
Key Issues in Operational Risk Capital Modeling
March 5, 2013
Measuring Operational Risk from Loss Data
March 5, 2013
Risk Measurement for the Trading Book
February 1, 2013
Reverse Stress Testing
January 27, 2013
Video Lecture for GARCH
January 22, 2013 · Chapter
Calculate Historical Volatility Using EWMA
January 13, 2013
Effective Risk Data Aggregation and Risk Reporting
December 26, 2012
Credit Lending and Risk Management
December 24, 2012
Knowledge and Skills Needed for Effective Risk Management
December 11, 2012 · Chapter
Concentrated Positions and Market Risk
December 11, 2012 · Chapter
Market Liquidity Risk Limits
November 26, 2012 · Chapter
How to Calculate Portfolio Risk and Return
November 21, 2012
Basel III Counterparty Credit Risk - Frequently Asked Questions
November 21, 2012 · Chapter
Selecting Optimal Portfolio for an Investor
November 16, 2012 · Chapter
Capital Allocation Line with Two Assets
November 16, 2012 · Chapter
Risk Aversion of Investors and Portfolio Selection
November 16, 2012 · Chapter
Utility Indifference Curves for Risk-averse Investors
November 12, 2012
Risk Management: Common Issues and Lessons Learned
October 29, 2012 · Chapter
Effect of Correlation on Diversification
October 28, 2012 · Chapter
Efficient Frontier for a Portfolio of Two Assets
October 24, 2012 · Chapter
Standard Deviation and Variance of a Portfolio
October 22, 2012 · Chapter
Calculate Variance and Standard Deviation of an Asset
October 22, 2012
Rogue Trading - Risk Controls and Culture
October 21, 2012 · Chapter
How to Calculate Leveraged Returns
October 21, 2012 · Chapter
Nominal Returns and Real Returns in Investments
October 19, 2012 · Chapter
Arithmetic Returns Vs. Geometric Returns
October 19, 2012 · Chapter
Gross and Net Returns Calculations
October 19, 2012 · Chapter
How to Calculate Annualized Returns
October 19, 2012 · Chapter
How to Calculate Money-weighted Returns
October 19, 2012 · Chapter
How to Calculate Portfolio Returns
October 16, 2012 · Chapter
Portfolio Risk and Return - Part 2A - Video
October 16, 2012 · Chapter
Portfolio Risk and Return - Part 2B - Video
October 11, 2012 · Chapter
Portfolio Risk & Return - Part 1A - Video
October 11, 2012 · Chapter
Portfolio Risk & Return - Part 1B - Video
October 8, 2012 · Chapter
How to Calculate the Holding Period Returns
October 7, 2012 · Chapter
Major Types of Return Measures
October 5, 2012
Market Risk Management in Fund Management
October 5, 2012
Mitigation of Market Risk in Fund Management
September 27, 2012
What does the Market Risk Department Do?
September 26, 2012
Credit Exposure Profiles of Bonds and Loans
September 25, 2012 · Chapter
Bankgesellschaft Berlin Case Study – Credit Risk and Operational Risk
September 24, 2012
Types of Operational Risk
September 23, 2012
Impact of Volatility Clustering on Value at Risk
September 23, 2012
Models of Volatility Clustering: EWMA and GARCH(1,1)
September 21, 2012
Economic Capital Calculation: Approaches
September 21, 2012
Problems with the VaR Models
September 21, 2012 · Chapter
Unbundling and Dynamically Hedging Risks
September 21, 2012
VaR Calculation: The Assumptions of Standard Distribution
September 20, 2012 · Chapter
Northern Rock: A Case in Low Frequency High Impact Event
September 20, 2012 · Chapter
VaR Mapping for Options Positions
September 18, 2012
Backtesting Value at Risk (VaR)
September 18, 2012 · Chapter
Mapping Complex Financial Positions
September 18, 2012 · Chapter
Mapping Futures/Forward Positions to Risk Factors
September 17, 2012 · Chapter
Case Study: Taisei Marine and Fire Insurance
September 14, 2012 · Chapter
China Aviation Oil - Derivative Losses
September 12, 2012 · Chapter
Market Liquidity Risk of Trading Activities
September 12, 2012 · Chapter
WorldCom Accounting Scandal: The Wrong Call (Part 1)
September 12, 2012 · Chapter
WorldCom Accounting Scandal: The Wrong Call (Part 2)
September 10, 2012 · Chapter
Mapping Zero-coupon Bonds to Risk Factors
September 9, 2012 · Chapter
Orange County Case
September 4, 2012 · Chapter
Determination of Presettlement Risk in Different Instruments
September 4, 2012 · Chapter
Measuring Potential Future Exposure
September 3, 2012 · Chapter
Mapping Equity Positions
September 2, 2012 · Chapter
Credit Risk and Counterparty Credit Risk
September 2, 2012 · Chapter
Credit Risk Measurement and Management in Trading
August 31, 2012 · Chapter
Market Risk Limits
August 24, 2012 · Chapter
Basic Measures of Market Risk
August 24, 2012
Definition of Operational Risk
August 24, 2012 · Chapter
Risks Inherent in Trading Activities
August 21, 2012
Bootstrapping Value at Risk (VaR)
August 21, 2012 · Chapter
Credit Officer: Long Term Tasks
August 21, 2012 · Chapter
Extreme Value Theory
August 20, 2012 · Chapter
Arithmetic Vs. Geometric Stock Returns
August 20, 2012 · Chapter
Credit Protection: Risk or Return, What Matters More?
August 20, 2012
Hot Jobs: Five Careers in Quantitative Analysis
August 20, 2012 · Chapter
How to Scale Autocorrelated Returns?
August 20, 2012
Managing Risks Associated with Settlement of Foreign Exchange Transactions
August 19, 2012 · Chapter
Credit Risk Documentation (Specific to Credit Derivatives)
August 19, 2012 · Chapter
Provision for Loan Loss
August 19, 2012 · Chapter
What is the Square Root Rule?
August 19, 2012 · Chapter
What is Volatility?
August 19, 2012 · Chapter
Why Use Lognormal Returns in Finance (Stock Prices)?
August 17, 2012 · Chapter
How to Forecast Volatility Using GARCH (1,1)
August 17, 2012 · Chapter
Mapping Spot FX Positions
August 17, 2012 · Chapter
Stress and Scenario Analysis
August 17, 2012 · Chapter
Using GARCH (1,1) Approach to Estimate Volatility
August 16, 2012 · Chapter
Using Excel's Goal Seek Function to Estimate Implied Volatility
August 16, 2012 · Chapter
VaR: Mapping Positions to Risk Factors
August 16, 2012 · Chapter
Volatility: Exponentially Weighted Moving Average (EWMA)
August 16, 2012 · Chapter
Volatility: Moving Average Approaches
August 15, 2012 · Chapter
Approaches to Estimating Volatility
August 15, 2012 · Chapter
How to Calculate Historical Volatility
August 14, 2012 · Chapter
Challenges in Managing Credit Exposure
August 14, 2012 · Chapter
Credit Limits and Provisions
August 14, 2012 · Chapter
Diversified Bond Value at Risk (VaR)
August 14, 2012 · Chapter
Key Elements of a Credit Risk Report
August 14, 2012 · Chapter
Undiversified Bond Value at Risk (VaR)
August 13, 2012 · Chapter
Bond Returns Value at Risk (VaR) as Bond Risk
August 13, 2012 · Chapter
Mapping a European Stock Option
August 13, 2012 · Chapter
VaR of Forward Foreign Currency Contract
August 10, 2012 · Chapter
Mapping a Fixed Income Portfolio to Risk Factors
August 10, 2012 · Chapter
Review of Strategic Credit Positions by Credit Risk Manager
August 9, 2012 · Chapter
The Responsibilities of the Credit Risk Officer
July 5, 2012
Effective Risk Data Aggregation and Risk Reporting
April 27, 2012 · Chapter
How Icelandic Banks Funded their Risky Business Models
April 27, 2012 · Chapter
Icelandic Banks: Asset Composition and Quality of Banks’ Balance Sheets
April 26, 2012 · Chapter
How Icelandic Banks Underplayed their True Riskiness?
April 25, 2012 · Chapter
Early Warning Indicators in Icelandic Financial Crisis
April 25, 2012 · Chapter
Triple Crisis in Iceland
April 24, 2012 · Chapter
Failure to Monitor and Manage Risk
April 24, 2012 · Chapter
Role of Effective Communication in Risk Management
April 24, 2012 · Chapter
Shortcomings of Risk Models
April 23, 2012 · Chapter
Failure to Account for Known and Unknown Risks
April 23, 2012 · Chapter
How can Risk Management Fail?
April 23, 2012 · Chapter
How Known Risks can be Mismeasured?
April 23, 2012 · Chapter
Risk Management Failures
April 22, 2012
A Comparison of Values-at-Risk (VAR) Methods
April 22, 2012
Types of Risks: The Known and The Unknowns
April 22, 2012
Where Corporate Risk Management Matters
February 24, 2012
Career Prospects for Energy Risk Professionals (ERP)
February 22, 2012 · Chapter
ARMA Models and ARCH Testing
February 22, 2012 · Chapter
How to Select the Most Appropriate Time Series Model?
February 21, 2012 · Chapter
Auto-Regressive (AR) Time Series Models
February 21, 2012 · Chapter
Auto-Regressive Models - Random Walks and Unit Roots
February 21, 2012 · Chapter
Time Series Analysis: Simple and Log-linear Trend Models
February 19, 2012 · Chapter
Fcalc – the Global Test for Regression Significance
February 19, 2012 · Chapter
Qualitative and Dummy Variables in Regression Modeling
February 19, 2012 · Chapter
Regression Analysis and Assumption Violations
February 18, 2012 · Chapter
Multiple Regression Analysis
February 18, 2012 · Chapter
Multiple Regression and Coefficient of Determination (R-Squared)
February 17, 2012 · Chapter
Analysis of Variance or ANOVA
February 16, 2012 · Chapter
Coefficient of Determination (R-Squared)
February 16, 2012 · Chapter
Confidence Intervals (CI) for Dependent Variable Prediction
February 16, 2012 · Chapter
Quants: Single Variable Linear Regression Analysis
February 16, 2012 · Chapter
Standard Error of the Estimate or SEE
February 15, 2012 · Chapter
CFA L2: Quantitative Methods - Introduction
February 15, 2012 · Chapter
Quants: Correlation Analysis
January 27, 2012 · Chapter
Risk Management Case Study: Metallgesellschaft AG (MGRM)
January 26, 2012 · Chapter
Risk Management Case Study: Sumitomo Derivatives Losses
January 2, 2012 · Chapter
Case Study: Collapse of Long-Term Capital Management
December 20, 2011
Fed endorses Basel III capital requirements for Wall Street
November 14, 2011
Introduction to Stress Testing
September 2, 2011
What is Risk?
September 1, 2011
What is a Credit Event?
August 8, 2011
Anti-Money Laundering (AML) Training Requirements
August 3, 2011
Summary of Basel III – What You Must Know
May 17, 2011 · Chapter
Factors Affecting Recovery Rates
It is practically impossible to accurately predict the recovery rates. There are various factors that will affect the recovery rates of a defaulted loan.
May 17, 2011 · Chapter
Using Beta Distribution for Estimating Recovery Rates
Most of the people use the beta distribution to model recovery rates. In probability theory and statistics, the beta distribution is a family of continuous probability distributions defined on the interval (0, 1) parameterized by two positive shape parameters, typically denoted by alpha and beta.
May 16, 2011 · Chapter
Expected Loss, Unexpected Loss, and Loss Distribution
While the terms expected loss and unexpected loss are commonly used in risk management, it is important to have a clear understanding of what they actually mean.
May 16, 2011 · Chapter
Exposure, Default and Recovery Rates
In order to understand default risk, we will analyze the its key components: Default arrival, exposure at default, and loss given default.
May 16, 2011 · Chapter
Understanding Recovery Rates
The recovery rates are a crucial element for calculating credit risk. The loss given default of an asset or a portfolio is calculated as 1 minus the recovery rate.
May 13, 2011 · Chapter
What is Default Risk?
Default risk can be defined as the risk that the counterparty to a transaction does not honour its obligation. Default could be both in terms on monetary and non-monetary terms, and it's a part of every transaction.
December 3, 2010
The Reasoning Behind Basel III
December 3, 2010
Top 10 Books on Risk Management
December 1, 2010
Operational Risk Data
October 21, 2010 · Chapter
Risk of Two Cash Positions
October 21, 2010 · Chapter
Time Scaling of Volatility
October 20, 2010 · Chapter
Parametric VaR Estimation
October 20, 2010 · Chapter
Risk of a Single Cash Position
October 20, 2010 · Chapter
Statistical Foundations: Predicting Volatility
October 19, 2010 · Chapter
Statistical Foundations: Understanding Correlations
October 18, 2010 · Chapter
Statistical Foundations: Mean and Standard Deviation
October 18, 2010 · Chapter
Three Methodologies for Calculating VaR
October 17, 2010 · Chapter
Understanding Normal Distribution
October 15, 2010 · Chapter
Event Risk and Its Management
October 15, 2010 · Chapter
Systemic Risk
October 14, 2010 · Chapter
Defaults and Ratings Changes
October 14, 2010 · Chapter
Overview of Operational Risk
October 4, 2010 · Chapter
Overview of Credit Risk
October 4, 2010 · Chapter
Types of Market Risk
October 3, 2010 · Chapter
Typology of Risks
September 30, 2010 · Chapter
Analyzing Market Risks: Three Key Exposures
August 19, 2010 · Chapter
Application of VaR to Non-Market Areas
August 11, 2010 · Chapter
Basel II - Internal Ratings Based (IRB) Approach
August 11, 2010 · Chapter
Basel II - Standardised Approach for Credit Risk
August 6, 2010
BIS - Principles for Sound Stress Testing Practices and Supervision
August 6, 2010
Case Study - National Australia Bank – FX Options
August 5, 2010 · Chapter
Basel II – Capital Charge for Credit Risk
August 3, 2010 · Chapter
Overview of Basel II Accord
August 2, 2010 · Chapter
Why Basel I (1988 Accord) Needed to be Replaced?
August 1, 2010 · Chapter
Basel Accord – 1996 Market Risk Amendment
July 31, 2010 · Chapter
The 1988 Basel Accord (Basel I)
July 26, 2010 · Chapter
Introduction to Basel Capital Accord
July 24, 2010
eBook - Risk Management Essentials
July 19, 2010 · Chapter
Calculating VaR using Monte Carlo Simulation
Computing VaR with Monte Carlo Simulations very similar to Historical Simulations. The main difference lies in the first step of the algorithm – instead of using the historical data for the price (or returns) of the asset and assuming that this return (or price) can re-occur in the next time interval, we generate a random number that will be used to estimate the return (or price) of the asset at the end of the analysis horizon.
July 19, 2010 · Chapter
Monte Carlo Simulation - Example
In the previous post, we learned the algorithm to compute VaR using Monte Carlo Simulation. Let us compute VaR for one share to illustrate the algorithm. We apply the algorithm to compute the monthly VaR for one stock. We will only consider the share price and thus work with the assumption we have only one share in our portfolio. Therefore the value of the portfolio corresponds to the value of one share.
July 11, 2010 · Chapter
Calculating VaR Using Historical Simulation
The fundamental assumption of the Historical Simulations methodology is that you base your results on the past performance of your portfolio and make the assumption that the past is a good indicator of the near-future. The below algorithm illustrates the straightforwardness of this methodology. It is called Full Valuation because we will re-price the asset or the portfolio after every run. This differs from a Local Valuation method in which we only use the information about the initial price and the exposure at the origin to deduce VaR.
July 10, 2010 · Chapter
Analytical Approach to Calculating VaR (Variance-Covariance Method)
July 10, 2010 · Chapter
Value at Risk (VaR)
June 30, 2010
Barings Bank - Case Study and Video
June 29, 2010 · Chapter
Probability of Attaining a Return Goal
June 25, 2010 · Chapter
Probability of One Portfolio Outperforming Another Portfolio
June 24, 2010 · Chapter
Diversification and Portfolio Risk
June 24, 2010 · Chapter
Value at Risk (VaR) of a Portfolio
June 23, 2010 · Chapter
Minimum Variance Hedge Ratio
June 23, 2010 · Chapter
What is Serial Correlation (Autocorrelation)?
June 10, 2010 · Chapter
Constructing an Efficient Frontier
June 9, 2010 · Chapter
Mean, Variance, Standard Deviation and Correlation