Estimating Market Risk Measures: An Introduction and Overview

Introduction to estimating market risk using historical and parametric approaches, including expected shortfall and quantile estimations.

Non-parametric Approaches

Covers non-parametric methods like bootstrap historical simulation for coherent risk measures, including advantages and disadvantages.

Parametric Approaches (II): Extreme Value

Discusses extreme value theory (EVT) and its application in risk management, focusing on the peaks-over-threshold approach.

Backtesting VaR

Explores the process of backtesting VaR models, discussing challenges, errors, and Basel backtesting rules.

VaR Mapping

Covers the principles of VaR mapping, capturing general and specific risks in portfolios, and its role in stress testing.

Basel Committee on Banking Supervision

Insights from the Basel Committee on market risk measurement, focusing on VaR implementation and liquidity risks.

Co-relation Basics: Definitions, Applications, and Terminology

Introduction to correlation risk, its role in finance, and its impact on market and credit risks.

Empirical Properties of CORelation: How Do CORelations Behave in the Real World?

Examines the real-world behavior of correlations, including volatility and economic impacts.

Financial Co-relation Modeling — Bottom-Up Approaches

Covers bottom-up approaches to financial correlation modeling, focusing on copula functions and joint probability of defaults.

Empirical Approaches to Risk Metrics and Hedging

Discusses empirical approaches to risk metrics, including regression hedging and principal component analysis.

The Science of Term Structure Models

Explores term structure models of interest rates, focusing on arbitrage pricing and option-adjusted spreads.

The Evolution of Short Rates and the Shape of the Term Structure

Discusses short rate models, interest rate trees, and the impact of volatility on term structure shapes.

The Art of Term Structure Models: Drift

Covers the construction and effectiveness of short-term rate trees, focusing on drift and model fitting.

The Art of Term Structure Models: Volatility and Distribution

Explores short-term rate models under time-dependent volatility, including CIR and lognormal models.

Volatility Smiles

Discusses volatility smiles and their implications for option pricing and implied volatility.

Fundamental Review of the Trading Book

Covers the Basel framework changes for market risk capital under FRTB, focusing on liquidity horizons and stress testing.

Fundamentals of Credit Risk

Defines credit risk, its sources, and key concepts like default, insolvency, and bankruptcy, along with credit risk examples.

Governance

Explores the governance structure for managing credit risk, including responsibilities and the three lines of defense framework.

Credit Risk Management

Focuses on effective credit risk management practices, including exposure limits, asset classification, and loan loss provisions.

Capital Structure in Banks

Examines how banks structure capital relative to credit risk, covering economic capital, expected loss, and unexpected loss.

Introduction to Credit Risk Modeling and Assessment

Introduces credit risk modeling techniques, including the CAMEL system and Merton model.

Credit Scoring and Rating

Compares credit scoring and rating systems, discussing through-the-cycle and point-in-time ratings.

Credit Scoring and Retail Credit Risk Management

Analyzes retail credit risk, focusing on credit scoring models and risk management strategies.

Country Risk: Determinants, Measures, and Implications

Explores country risk, including its sources, measurement, and implications for credit risk.

Estimating Default Probabilities

Discusses methods for estimating default probabilities, including rating migration and hazard rates.

Credit Value at Risk

Covers credit VaR, including its calculation, application, and comparison with market VaR.

Portfolio Credit Risk

Discusses portfolio credit risk, focusing on default correlation and Credit VaR using simulation methods.

Credit Risk

Discusses the various aspects of credit risk including factors, measurement, and management.

Credit Derivatives

Explores credit derivatives, including CDS, CDOs, and their role in managing credit risk.

Derivatives

Covers the basic principles and applications of derivatives in managing credit risk.

Counterparty Risk and Beyond

Covers counterparty risk, including CVA, DVA, and the management of derivative exposures.

Netting, Close-out and Related Aspects

Discusses netting and close-out procedures, their role in reducing credit exposure, and ISDA agreements.

Margin (Collateral) and Settlement

Explores collateral management, including CSAs, margin calculation, and collateral disputes.

Central Clearing

Discusses central clearing, including CCPs, margin requirements, and default management.

Future Value and Exposure

Covers future value and exposure calculation methods, focusing on EPE, PFE, and stress testing.

CVA

Discusses Credit Valuation Adjustment (CVA), including its calculation, management, and impact on pricing.

The Evolution of Stress Testing Counterparty Exposures

Examines the evolution of stress testing for counterparty exposures, focusing on best practices and regulatory expectations.

Structured Credit Risk

Introduces structured credit products, including tranching, securitization, and their associated risks.

An Introduction to Securitisation

Provides an overview of securitization, including structures, benefits, and risks associated with asset-backed securities.

Introduction to Operational Risk and Resilience

Overview of operational risk management frameworks, including types of risks and elements of operational resilience.

Risk Governance

Details the governance framework for operational risk, emphasizing Basel expectations and the three lines of defense model.

Risk Identification

Discusses top-down and bottom-up approaches for identifying operational risks, including scenario analysis and risk taxonomies.

Risk Measurement and Assessment

Covers the tools and techniques for measuring operational risk, including key risk indicators (KRIs) and scenario analysis.

Risk Mitigation

Focuses on strategies for mitigating operational risk, including insurance, outsourcing, and business continuity planning.

Risk Reporting

Discusses the importance of effective risk reporting, including internal and external reporting requirements and communication strategies.

Integrated Risk Management

Explores the concept of integrated risk management, combining various risk types into a unified framework for decision-making.

Cyber-resilience: Range of Practices

Covers the practices for enhancing cyber-resilience, including cybersecurity frameworks, incident response, and threat intelligence.

Case Study: Cyberthreats and Information Security Risks

Presents a case study on managing cyberthreats and information security risks in financial institutions.

Sound Management of Risks related to Money Laundering and Financing of Terrorism

Discusses best practices for managing risks associated with money laundering and terrorism financing, focusing on AML frameworks.

Case Study: Financial Crime and Fraud

Analyzes a case study on financial crime and fraud, exploring the detection, prevention, and response strategies.

Guidance on Managing Outsourcing Risk

Provides guidance on managing outsourcing risk, including due diligence, contract management, and regulatory expectations.

Third-party Risk Management

Explores the risks associated with third-party vendors, including monitoring, assessment, and mitigation strategies.

Case Study: Investor Protection and Compliance Risks in Investment Activities

Presents a case study on investor protection and compliance risks, focusing on regulatory breaches and mitigation strategies.

Supervisory Guidance on Model Risk Management

Discusses the supervisory guidance on model risk management, focusing on model validation and governance practices.

Case Study: Model Risk and Model Validation

Explores a case study on model risk and validation, focusing on the impact of poor model governance.

Stress Testing Banks

Covers the principles and methodologies of stress testing in banks, focusing on liquidity and capital adequacy.

Risk Capital Attribution and Risk-Adjusted Performance Measurement

Explores the methods of risk capital attribution and the calculation of risk-adjusted performance metrics.

Range of Practices and Issues in Economic Capital Frameworks

Discusses the range of practices and challenges in implementing economic capital frameworks in financial institutions.

Capital Planning at Large Bank Holding Companies

Examines the expectations and practices for capital planning at large bank holding companies.

Solvency, Liquidity, and Other Regulation After the Global Financial Crisis

Analyzes the post-crisis regulatory reforms related to solvency and liquidity, focusing on Basel III.

Basel III: Finalising Post-Crisis Reforms

Discusses the finalization of Basel III reforms, focusing on their impact on global financial stability.

Liquidity Risk

Explores liquidity risk, including cost of liquidation, liquidity-adjusted VaR, and lessons from historical cases.

Liquidity and Leverage

Discusses the relationship between liquidity and leverage, focusing on leverage ratios and regulatory requirements.

Early Warning Indicators

Covers early warning indicators for liquidity stress, including market signals, funding gaps, and credit spreads.

The Investment Function in Financial-Services Management

Discusses the role of the investment function in managing liquidity and treasury risks in financial institutions.

Liquidity and Reserves Management: Strategies and Policies

Explores strategies and policies for managing liquidity and reserves, focusing on contingency funding plans.

Intraday Liquidity Risk Management

Covers the management of intraday liquidity risk, focusing on settlement processes and payment systems.

Monitoring Liquidity

Discusses the tools and techniques for monitoring liquidity, including cash flow analysis and liquidity ratios.

The Failure Mechanics of Dealer Banks

Analyzes the mechanics of dealer bank failures, focusing on liquidity crises and counterparty risks.

Liquidity Stress Testing

Explores the methodologies for liquidity stress testing, focusing on scenario analysis and regulatory expectations.

Liquidity Risk Reporting and Stress Testing

Covers the reporting requirements for liquidity risk and stress testing, focusing on internal and external communication.

Contingency Funding Planning

Discusses the development and implementation of contingency funding plans, focusing on liquidity crises.

Managing and Pricing Deposit Services

Explores the management and pricing of deposit services, focusing on deposit insurance and interest rate risk.

Managing Non-deposit Liabilities

Covers the management of non-deposit liabilities, including repurchase agreements and short-term funding strategies.

Repurchase Agreements and Financing

Discusses the role of repurchase agreements in financing, focusing on their risks and regulatory implications.

Liquidity Transfer Pricing

Explores the concept of liquidity transfer pricing, focusing on its role in risk management and regulatory compliance.

The US Dollar Shortage in Global Banking and the International Policy Response

Analyzes the US dollar shortage in global banking, focusing on policy responses and their impact on liquidity.

Covered Interest Parity Lost: Understanding the Cross-Currency Basis

Discusses the breakdown of covered interest parity and its implications for cross-currency basis swaps.

Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques

Explores asset-liability management techniques for managing interest rate risks, focusing on duration analysis.

Illiquid Assets

Discusses the risks associated with illiquid assets, including valuation challenges and liquidity management strategies.

Factor Theory

Introduction to factor theory, covering key concepts like factor models and their role in risk management.

Factors

Discusses the various factors that drive returns in financial markets, including macroeconomic and style factors.

Alpha

Explores the concept of alpha, focusing on its measurement and implications for portfolio management.

Portfolio Construction

Covers the principles of portfolio construction, including diversification, asset allocation, and optimization techniques.

Portfolio Risk: Analytical Methods

Discusses analytical methods for assessing portfolio risk, including VaR, stress testing, and scenario analysis.

VaR and Risk Budgeting in Investment Management

Explores the use of VaR and risk budgeting in investment management, focusing on allocation and performance measurement.

Risk Monitoring and Performance Measurement

Covers the tools and techniques for monitoring risk and measuring performance in investment portfolios.

Portfolio Performance Evaluation

Discusses methods for evaluating portfolio performance, including benchmarks, attribution analysis, and risk-adjusted returns.

Hedge Funds

Explores hedge funds, their strategies, risks, and the role they play in portfolio diversification.

Performing Due Diligence on Specific Managers and Funds

Covers due diligence processes for evaluating managers and funds, focusing on risk and performance metrics.

Predicting Fraud by Investment Managers

Discusses methods for identifying and predicting fraudulent activities by investment managers.

Review of the Federal Reserve’s Supervision and Regulation of Silicon Valley Bank

Analyzes the Federal Reserve’s supervision of Silicon Valley Bank, focusing on regulatory shortcomings and recommendations.

The Credit Suisse CoCo Wipeout: Facts, Misconceptions, and Lessons for Financial Regulation

Discusses the Credit Suisse CoCo wipeout, covering its causes, market reactions, and regulatory implications.

Artificial Intelligence and Bank Supervision

Explores the role of AI in bank supervision, focusing on its benefits, risks, and regulatory considerations.

Financial Risk Management and Explainable, Trustworthy, Responsible AI

Covers the principles of explainable, trustworthy, and responsible AI in financial risk management.

Artificial Intelligence Risk Management Framework

Discusses the framework for managing AI-related risks in financial institutions, focusing on governance and ethics.

Climate-Related Risk Drivers and their Transmission Channels

Analyzes climate-related risk drivers, including their transmission channels and impact on financial stability.

Climate-Related Financial Risks - Measurement Methodologies

Covers the methodologies for measuring climate-related financial risks, focusing on scenario analysis and stress testing.

Principles for the Effective Management and Supervision of Climate-Related Financial Risks

Discusses the principles for managing and supervising climate-related financial risks in financial institutions.

The Crypto Ecosystem: Key Elements and Risks

Explores the key elements of the crypto ecosystem, focusing on risks, regulation, and market dynamics.

Digital Resilience and Financial Stability: The Quest for Policy Tools in the Financial Sector

Analyzes the importance of digital resilience in financial stability, focusing on policy tools and regulatory approaches.