“He who loves practice without theory is like the sailor who boards ship without a rudder and compass and never knows where he may be cast”
Leonardo da Vinci
Market and Counterparty Risk Reviews +
Comprehensive review of current leading edge practices, methods and policies in Market Risk and Counterparty Risk
1.Advanced Review of Market Risk
All methods reviewed with templates
General Policy and Controls
Coherence
Policy & Trading control framework
Trading organisation
Trading vs. Regulatory controls
Other controls: roles, inputs etc.
Limit management
Review of academic literature on Risk Measurement in the Trading Book
Selected lessons on VaR implementation
Incorporating liquidity
Risk measures
Stress testing practices for market risk
Unified versus compartmentalised risk measurement
Risk management and value-at-risk in a systemic context
Parametric Value at Risk
Returns
Forecasting volatility
Estimating position sensitivity
Mapping cash flows
Correlation
Product wise application
Linear VaR alternatives
Applying to non-normal variables
Extreme Value based models
Expected Shortfall
Adjustments
Decomposition
Standard error of the estimate
Historical Simulation
Definition, process & components
Alternative weighting methods
Alternative simulation methods
Extreme value theory models
Adjustments
Decomposition & sub-portfolio analysis
Monte Carlo Simulation
Components of simulation
Generating random numbers
Alternatives for MCS VaR using:
Normal random variables
Factor models
Decomposition
Copula methods
Principal Components
Multi-steps
Non-normal simulation
Other methods
Expected Shortfall
Improving MCS VaR
Decomposition
Running live simulations with @Risk
Product level applications
Attribution analysis
Risk Aggregation
Model-testing
Stress testing
Capital for market risk (Basle 1, II, III)
2.Advanced Review of Counterparty Risk
All methods reviewed with templates
Product Review: taxonomy of foreign exchange and interest rate derivative variants
Nature, types and components of Counterparty Credit Risk
Credit risk(CCR) taxonomy in treasury operations
Types of Counterparty risk in trading
CCR management process & approvals
Credit exposure measurement
Nature of exposure
Exposure metrics
Methods of quantifying exposure
Techniques to compute exposure
Model approaches
Margin period of risk
Netting & Collateral
Yield Curve models
Default models
Estimation of exposure of different products
Mitigation for risk
Pricing for CCR
CVA, DVA, FVA, MVA, KVA, ColVa, xVA
Legal framework for CCR
Wrongway and Rightway risk
Central clearing counterparties
Model-testing
Stress testing
Capital for CCR (Basle I,II,III)
Central Clearing Counterparties (CCP)
All reviews delivered with reading materials, demonstration using spreadsheet templates, software and presentation material
Details on request