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Introduction
1. Introduction
00:17:09
Chapter 1 – Risk Management: A helicopter View
Chapter 1 Study Notes
2. What is Risk Management?
00:19:08
3. The conflict between Risk and Return
00:35:29
4. The Danger of Names
00:23:07
5. Numbers are dangerous, too
00:23:11
6. The Risk Manager’s job
00:8:15
7. Typologies of Risk Exposures
00:42:17
Chapter 1 Quiz
22 minutes
Chapter 2 – Corporate Risk Management: A primer
Chapter 2 – Corporate Risk Management: A primer
8. Why not to manage risk in theory
00:30:53
9. And some reasons for managing risk in practice
00:12:27
10. Hedging operations versus hedging financial positions
00:10:06
11. Case Study: Merk and FX exposure
00:8:36
12. Determining the Objectives of Risk Management
00:16:26
13. Risk Mapping
00:05:57
14. Instruments for Risk Management
00:15:58
15. Constructing and implementing the risk management strategy
00:14:48
16. Performance Evaluation
00:4:20
Chapter 2 Quiz
22 minutes
Chapter 5 – A User Friendly Guide to the Theory of Risk and Return
Chapter 5 – A user friendly guide to the theory of Risk and Return
17. Harry Markowitz and Portfolio Selection
00:33:26
18. CAPM – The arbitrage Theory
00:28:38
19. How to price an option
00:39:44
20. Modigliani and Miller theory (M &M)
00:08:33
21. Behavioral Financing
00:05:39
Chapter 5 Quiz
24 minutes
Chapter 4 – Corporate Governance and Risk Management
Chapter 4 – Corporate Governance and Risk Management
22. Setting the Scene: Governance and Risk Management
00:15:57
23. True Risk Governance
00:13:18
24. Committees and Risk Limits: Overview
00:20:52
25. Roles and Responsibilities in Practice
00:11:21
Chapter 4 Quiz
26 minutes
PRMIA Standards of Best Practice, Conduct & Ethics
PRMIA Standards of best practice, Conduct and ethics
26. Professional Standards
00:8:15
27. Professional Conduct
00:11:23
28. Ethical Behavior
00:4:50
29. Guidance on Conflict Resolution
00:7:27
PRMIA Governance Principles
PRMIA Governance Principles
30. The principles
00:08:26
31. Application of the principles
00:08:36
32. Duties of Key Parties
00:08:16
PRMIA Bylaws
PRMIA Bylaws
33. PRMIA Bylaws
00:17:17
PRMIA Standards of Best Practice, Conduct, Ethics, Governance Principles and bylaws quiz
38 minutes
The Structure of Financial Markets and OTC Markets
The structure of Financial Markets and OTC markets
34. Introduction
00:5:14
35. Global markets and their terminologies
00:8:51
36. Drivers of liquidity
00:12:47
37. REPO Markets
00:17:41
38. Liquidity and Financial Risk Management
00:7:50
39. Exchanges Versus OTC Markets
00:15:26
40. Post- trade Processing
00:7:55
41. Retail and Wholesale Brokerage
00:06:04
42. New Financial Markets
00:20:33
The structure of Financial Markets and OTC Markets
34 minutes
Money Markets
Money Markets
43. Characteristics of Money Market instruments
00:16:55
44. Deposits from Customers
00:9:23
45. Loans to Businesses
00:11:14
46. Repurchase Agreements
00:5:25
47. International Markets
00:6:33
48. The LIBOR
00:5:46
49. Money Market Securities
00:19:38
Money Markets Quiz
26 minutes
Bond Markets
Bonds market
50. The players
00:25:57
51. Bonds by issuers
00:30:35
52. The markets
00:6:26
53. The government bonds market
00:4:50
54. The corporate bonds market
00:3:54
55. The market by country and sector
00:2:37
57. The eurobond market
00:5:29
56. Underwriting a new issue
00:10:09
58. Credit Risk
00:24:03
Bonds markets quiz
24 minutes
Stock Markets
Stock Markets
59. The characteristics of Common Stock
00:9:55
60. Share Premium and Capital Accounts and Limited Liability
00:15:06
61. Equity Shareholders Rights and Dividends
00:12:11
62. Other Types of Equity Shares- Preference Shares
00:12:53
63. Equity Price Data
00:6:18
64. Market Capitalization
00:5:55
65. Stock Market Indices
00:13:4
66. Equity Valuation
00:15:33
67. Stock Markets and their Participants
00:7:19
68. Market Mechanics
00:3:58
69. The Primary Market – IPOs and Private Placements
00:4:17
70. Basic Primary Market Process
00:5:16
71. Initial Public Offerings
00:6:03
72. Private Placements
00:5:11
73. The Secondary Market- the Exchange Versus OTC Markets
00:4:13
74. The Exchange
00:8:09
75. The Over The Counter Market
00:3:52
76 Trading Costs
00:6:02
77. Commissions
00:4:36
78. Bid-Offer Spread
00:5:06
79. Market Impact
00:3:33
80. Buying on margin
00:16:58
81. Leverage
00:3:56
82. Percentage Margin and Maintenance margin
00:3:54
83. Short Sales and Stock Borrowing Costs
00:8:22
84. Short Sale
00:5:37
85. Stock Borrowing
00:3:26
Stock markets quiz
30 minutes
Foreign Exchange Markets
Foreign Exchange Markets
86. The Interbank Market
00:11:07
87. Exchange Rate Quotations
00:7:41
88. Direct Dealing Vs Foreign Exchange Brokers
00:7:46
89. Electronic Brokering Systems
00:2:15
90. The Role of the US Dollar
00:5:45
91. Market and Quoting Conventions
00:5:18
92. Cross Trades and Cross Rates
00:5:05
93. Determinants of Foreign Exchange Rates
00:14:51
94. Spot and Forward Markets
00:6:41
95. Forward Discounts and Premiums
00:5:41
96. Interest Rate Parity
00:7:02
Foreign Exchange Markets Quiz
32 minutes
Futures Markets
Futures Markets
97. Introduction
00:19:07
98. General Characteristics of Futures Contract and Markets
00:9:52
99. Types of Orders
00:27:27
100. Liquidity and Trading Costs
00:5:37
101. Options on Futures
00:8:05
102. Futures Exchanges and Clearing Houses
00:5:27
103. Market Participants
00:3:33
104. Spreads
00:8:34
Futures Market
26 minutes
Commodities Markets
Commodities Markets
105. Introduction
00:7:55
106. Commodity Types and Characteristics
00:4:56
107. The Markets for Trading
00:4:07
108. Delivery and Settlement Methods
00:13:07
109. The Special Case of Gold as a Reserve Asset
00:5:46
110. Spot – Forward Relationships
00:4:49
111. Backwardation and Contango
00:9:16
112. The Exchange Limits
00:4:50
113. Risk Management at the Commodity Trading Desk
00:8:22
114. Drivers of Commodity Prices
00:6:46
Commodities Markets
26 minutes
Energy Markets
Energy Markets
115. The Products
00:5:25
116. The Risks
00:18:15
117. Developing a Cash market in energy markets
00:5:32
118. Energy Futures Markets
00:21:02
119. The Exchanges
00:5:59
120. Options on Energy Futures
00:25:09
121. Hedging Energy Futures Markets
00:11:2
122. Physical Delivery
00:8:07
123. Market Changes: Backwardation and Contango
00:7:3
124. OTC Energy Derivatives Markets
00:14:2
Energy Markets
8 minutes
Chapter 6 – Interest Rates and Hedging with Derivative Instruments
Chapter 6 – Interest Rates and Hedging with Derivative Instruments
125. How does Interest Rate Risk Arise?
00:52:25
126. Bond Price and Yield to Maturity
00:22:11
127. The Risk Factor Sensitivity Approach
00:14:16
128. Portfolio of Instruments
00:12:59
129. Instruments for Hedging Interest Rate Risk
00:33:41
130. Financial Engineering
00:4:31
Chapter 6 Quiz
44 minutes
Chapter 7 – Measuring Market Risk: VAR, Expected Shortfall and Similar Mertics
Chapter 7 – Measuring Market Risk, VAR, Expected Shortfall and Similar Metrics
131. The VAR Controversy: A Quick Primer
00:17:47
132. The Notional Amount Approach
00:7:02
133. Price Sensitivity Measures of Derivatives
00:17:49
134. Defining Value At Risk
00:23:25
135. From One Day VAR to 10 days VAR
00:3:58
136. How is VAR used to limit Risk in practice?
00:11:55
137. How do we generate Distribution for Calculating VAR?
00:21:5
Chapter 7 Quiz
20 minutes
Chapter 8 – Asset Liability Management
Chapter 8 – Asset Liability Management
138. ALM Goals, Scope, Techniques and Strategy
00:24:08
139. Interest Rate Risk
00:17:20
140. ALCO
00:12:20
141. Gap Analysis
00:28:28
142. Earnings at Risk
00:08:04
143. The multicurrency Balance Sheet Issues
00:10:09
144. Duration Gap Approach
00:17:10
145. Beyond Duration Analysis: Long- Term VaR
00:11:15
146. Funding Liquidity Risk: Credits and Debits
00:14:51
147. Funds Transfer Pricing
00:19:57
Chapter 8 Quiz
18 minutes
Chapter 16 – Stress Testing and Scenario Analysis
Chapter 16 – Stress Testing and Scenario Analysis
148. Why Has Stress Testing Moved to the Fore?
00:15:59
149. Types of Stress Testing and Scenario Analysis: Overview
00:9:41
150. Stress Testing Envelopes
00:12:56
151. Regulatory Requirements for Stress Testing and Scenario Analysis
00:24:41
152. Best Practice Stress Testing
00:11:27
153. Use of Stress Testing and Integration in Risk Governance
00:19:05
154. Purposes and Methodologies of Stress Testing
00:19:05
155. Scenario Selections
00:18:06
156. Stress Testing Specific Risks and Complex Structured Products
00:8:51
Chapter 16 Quiz
18 minutes
Chapter 9 – Credit Scoring and Retail Credit Risk Management
Chapter 9 – Credit Scoring and Retail Credit Risk Management
157. Introduction
00:17:47
158. The Nature of Retail Credit Risk
00:29:16
159. Credit Scoring: Cost, Consistency and Better Credit Decisions
00:21:30
160. What kind of Credit Scoring Models are There?
00:13:34
161. From Cutoff Scores to Default Rates and Loss Rates
00:14:35
162. Measuring and monitoring the performance of a scorecard
00:18:26
163. From Default Risk to Customer Value
00:20:59
164. Securitization and Market Reforms
00:14:14
165. Risk Based Pricing
00:5:21
Chapter 9 Quiz
20 minutes
Chapter 10 – Commercial Credit Risk and the Rating of Individual Credits
Chapter 10 – Commercial Credit Risk and the Rating of Individual Credits
166. Rating Agencies
00:35:52
167. Debt Rating Migration
00:7:03
168. Introduction to Internal Risk Rating
00:26:37
169. Financial Assessment
00:7:14
170. Adjustment Factors for Obligor Default Rating (ODR)
00:15:10
171. Loss Given Default Rating (LGDR)
00:6:48
Chapter 10 Quiz
10 minutes
Chapter 11 – Quantitative Approaches to Credit Portfolio Risk and Credit Modeling
Chapter 11 – Quantitative Approaches to Credit Portfolio Risk and Credit Modeling
172. Why is Credit Risk Modeling so important and so difficult?
00:35:17
173. What drives credit risk at the portfolio level?
00:13:19
174. Estimating portfolio credit risk: Overview
00:13:26
175. CreditMetrics and the Credit Migration Approach (a)
00:23:48
176. CreditMetrics and the Credit Migration Approach (b)
00:19:08
177. The contingent claim or structural approach to measure credit risk
00:19:56
178. Moody’s KMV approach
00:15:15
179. The evaluation of Credit portfolios
00:20:41
180. Hybrid Structural Models
00:8:22
181. Scoring Models
00:10:54
Chapter 11 Quiz
14 minutes
Chapter 12 – The Credit Risk Transfer Markets and their implications
Chapter 12 – The Credit Risk Transfer Markets and their implications
182. Credit Derivatives: Overview
00:9:26
183. End User Applications of Credit Derivatives
00:24:52
Chapter 12 Quiz
20 minutes
The evolution of Counterparty Credit Risk Management
The evolution of Credit Risk Management
Chapter 14 – Operational Risk
Chapter 14 – Operational Risk
Chapter 14 Quiz
18 minutes
Chapter 17 – Risk Capital Attributes and RAROC
Chapter 17 – Risk Capital Attributes and RAROC
Chapter 17 Quiz
14 minutes
Case Studies
The Group of Thirty Derivatives Best Practice
Metallgesellschaft
Orange County
Riggs Bank
World Com
Bankers Trust
Daiwa
Long Term Capital Market
Continental Illinois
Bankgesellschaft Berlin
Credit Lyonnais
NAB – FX Operations
Barings
Mock Exam
Mock Exam
3 hours
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2. What is Risk Management?
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