Market Risk Measurement and Management
The Market Risk Measurement and Management module is broken down into the following elements:
- Interest rates and bond pricing.
- Interest rate, foreign exchange, equity and commodity risks.
- Derivatives on fixed income securities, interest rates, foreign exchange, equities and commodities.
- Valuation and risk analysis of futures, forwards, swaps and options.
- Identifying and measuring risk exposures.
- Value at risk
- Definition, delta normal, historical simulation, Monte Carlo.
- Implementation.
- Limitations and alternative risk measures, e.g. conditional value at risk.
- Stress testing.
- Emerging market risks including currency crises.
- Measuring and managing corporate exposures, including cash flow at risk and earnings at risk.
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