融躍教育

操作風險

current issue

流動性風險

市場風險

投資風險

信用風險

模擬機考

1.Mean-variance framework

2.Normal distribution and Mean-variance framework limitations

3.Value at risk (VaR) and VaR limitations

4.Coherent risk measures and ES

5.Linear and nonlinear derivatives and Historical simulation approach

6.Delta-normal approach and Full revaluation method

7.Deviations From the Normal Distribution

8.Regime Switching

9.Volatility Measurement

10.The EWMA Model and GARCH (1,1) Model

11.Mean reversion and Correlation

12.Historical-based approach

13.Nonparametric vs. Parametric VaR Methods and implied-volatility-based approach

14.Arithmetic and Geometric returns

15.Normal VaR and Lognormal VaR

16.Bootstrap Historical Simulation Approach

1.Basic of credit risk

2.Credit risk measurement

3.Credit risk management

1.Event classification of Operational risk

2.Data Governance of Operational risk

3.Measurement methods of Operational risk

4.Organizational Structure in Operational risk

5.Capital Planning of Operational risk

0-1 introduction

1-1 Basic methods of VaR estimation

1-2 Coherent risk estimation

2-1 Bootstrap historical simulation

2-2 Four Non-parametric Approaches

3-1 Block Maxima Method

3-2 Peaks-over-Threshold

4-1 Backtesting VaR Introduction

4-2 Backtesting VaR methods(1)

4-2 Backtesting VaR methods(2)

5-1 Mapping introduction

5-2 VaR mapping application(1)

5-2 VaR mapping application(2)

6-1 lessons in VaR estimation

7-1 Correlation in finance

7-2 Correlation trading

7-3 Risk management and the financial crisis

8-1 Mean Reversion of Correlation

9-1 Copulas and Joint Default Probability

10-1 Single and two-Variable Regression Based Hedging

11-1 Binomial tree- Risk neutral and replication pricing(1)

12-1 Interest Rate Expectation, Volatility and Risk Premium

13-1 Model 1 and Model 2

13-2 Ho-lee Model and VasiceK model

14-1 Time variability of volatility

15-1 Foreign currency option

15-2 Equity option

16-1 Regulation evolutions

0-1 Introduction

1-1 Credit risk introduction(1)

1-1 Credit risk introduction(2)

2-1 Job Descriptions

3-1 Expected loss and unexpected loss

4-1 Probabilities of default

4-2 Rating methods

5-1 Merton Model(1)

5-1 Merton Model(2)

5-2 Other Portfolio Credit Risk Models

6-1 Credit Spreads(1)

6-1 Credit Spreads(2)

7-1 Default correlation

8-1 Default correlation

9-1 Netting, compression and termination

10-1 Margin support

11-1 exposure metrics and mitigation(1)

11-1 exposure metrics and mitigation(2)

12-1 CVA, DVA and BCVA

12-2 Wrong way risk

13-1 Market risk prospective of CCR and stress testing

14-1 2007 GFC review

15-1 Credit derivatives(1)

15-1 Credit derivatives(2)

16-1 Securitization review(1)

16-1 Securitization review(2)

17-1 Waterfall Structure Calculation

18-1 Frictions in securitization

0-1 Introduction

1-1 Introduction to Operational Risk and Resilience

1-2 Introduction to Operational Risk and Resilience

1-3 Introduction to Operational Risk and Resilience

1-4 Introduction to Operational Risk and Resilience

2-1 Risk Governance

2-2 Risk Governance

3-1 Risk Identification

2-3 Risk Governance

3-2 Risk Identification

2-4 Risk Governance

3-3 Risk Identification

4-1 Risk Measurement and Assessment

3-4 Risk Identification

4-2 Risk Measurement and Assessment

4-3 Risk Measurement and Assessment

4-4 Risk Measurement and Assessment

4-5 Risk Measurement and Assessment

4-6 Risk Measurement and Assessment

4-7 Risk Measurement and Assessment

5-1 Risk Mitigation

5-2 Risk Mitigation

5-3 Risk Mitigation

5-4 Risk Mitigation

5-5 Risk Mitigation

5-6 Risk Mitigation

6-1 Risk Reporting

6-2 Risk Reporting

6-3 Risk Reporting

6-4 Risk Reporting

7-1 Integrated Risk Management

7-2 Integrated Risk Management

7-3 Integrated Risk Management

7-4 Integrated Risk Management

8-1 Cyber-Resilience- Range of Practices

8-2 Cyber-Resilience- Range of Practices

8-3 Cyber-Resilience- Range of Practices

8-4 Cyber-Resilience- Range of Practices

8-5 Cyber-Resilience- Range of Practices

9-1 Case Study- Cyberthreats and Information Security Risks

9-2 Case Study- Cyberthreats and Information Security Risks

10-1 Sound Management of Risks Related to Money Laundering and Financing of Terrorism

10-2 Sound Management of Risks Related to Money Laundering and Financing of Terrorism

10-3 Sound Management of Risks Related to Money Laundering and Financing of Terrorism

11-1 Management of Risk Associated with Money Laundering and Financing of Terrorism

11-2 Management of Risk Associated with Money Laundering and Financing of Terrorism

12-1 Guidance on Managing Outsourcing Risk

12-2 Guidance on Managing Outsourcing Risk

13-1 Case Study- Third-Party Risk Management

13-2 Case Study- Third-Party Risk Management

14-1 Case Study- Investor Protection and Compliance Risks in Investment Activities

14-2 Case Study- Investor Protection and Compliance Risks in Investment Activities

15-1 Supervisory Guidance on Model Risk Management

15-2 Supervisory Guidance on Model Risk Management

15-3 Supervisory Guidance on Model Risk Management

15-4 Supervisory Guidance on Model Risk Management

16-1 Case Study- Model Risk and Model Validation

16-2 Case Study- Model Risk and Model Validation

16-3 Case Study- Model Risk and Model Validation

17-1 Stress Testing Banks

17-2 Stress Testing Banks

17-3 Stress Testing Banks

18-1 Risk Capital Attribution and Risk-Adjusted Performance Measurement

18-2 Risk Capital Attribution and Risk-Adjusted Performance Measurement

18-3 Risk Capital Attribution and Risk-Adjusted Performance Measurement

18-4 Risk Capital Attribution and Risk-Adjusted Performance Measurement

18-5 Risk Capital Attribution and Risk-Adjusted Performance Measuremen

18-6 Risk Capital Attribution and Risk-Adjusted Performance Measurement

18-7 Risk Capital Attribution and Risk-Adjusted Performance Measurement

18-8 Risk Capital Attribution and Risk-Adjusted Performance Measurement

19-1 Range of Practices and Issues in Economic Capital Frameworks

19-2、3 Range of Practices and Issues in Economic Capital Frameworks

19-4 Range of Practices and Issues in Economic Capital Frameworks

20-1 Capital Planning at Large Bank Holding Companies

20-2 Capital Planning at Large Bank Holding Companies

21-1 Capital Regulation Before the Global Financial Crisis

21-2 Capital Regulation Before the Global Financial Crisis

21-3 Capital Regulation Before the Global Financial Crisis

21-4 Capital Regulation Before the Global Financial Crisis

21-5,6 Capital Regulation Before the Global Financial Crisis

21-7 Capital Regulation Before the Global Financial Crisis

21-8 Capital Regulation Before the Global Financial Crisis

22-1、2、3 Solvency, Liquidity and Other Regulation After the Global Financial Crisis

22-4 Solvency, Liquidity and Other Regulation After the Global Financial Crisis

22-5 Solvency, Liquidity and Other Regulation After the Global Financial Crisis

22-6 Solvency, Liquidity and Other Regulation After the Global Financial Crisis

22-7、8 Solvency, Liquidity and Other Regulation After the Global Financial Crisis

23-1 High-Level Summary of Basel Ⅲ Reforms

23-2 High-Level Summary of Basel Ⅲ Reforms

23-3 High-Level Summary of Basel Ⅲ Reforms

24-1、2 Basel Ⅲ-Finalising Post-Crisis Reforms

24-3 Basel Ⅲ-Finalising Post-Crisis Reforms

1-1 Factor Theory

1-2 Capital asset pricing model

1-3 Multifactor Model

1-4 Efficient market theory

1-5 Example

2-1.Macroeconomic risk factors

2-2.Dynamic risk factors

2-3.Example

3-1 Characteristics of Sound Benchmarks

3-2.Fundamental Law of Active Management

3-3.Alphas for nonlinear strategies

3-4 Example

4-1 Portfolio Construction Inputs

4-2.Transaction Costs

4-3 Portfolio Construction Techniques

4-4 Example

5-1 Portfolio VaR

5-2 Marginal VaR

5-3 Incremental VaR and Component VaR

5-4 Portfolio VaR---Summary

5-5 Example

6-1 Two Basic Steps of the Investment Process

6-2 Funding Ris

6-3 Monitoring Risk with VAR

6-4 Example

7-1 The Three Legs of Risk Management

7 - 2 Liquidity Considerations

7 - 3 Example

8 - 1 Time-Weighted and Dollar-Weighted Return

8 - 2 Risk-Adjusted Performance Measures

8-3 Market Timing Ability

8-4 Performance Attribution

8-5 Example

9-1 Hedge Funds versus Mutual Funds

9-2 Hedge Fund Strategies

9-3 Fund of Hedge Funds

9-4 Example

10-1 Past Fund Failures

10-2 Due Diligence of Operational Environment

10-3 Example

11-1 Information Disclosures

11-2 Efficacy of Information Disclosures

11-3 Example

introduction

1-1 Liquidity Trading Risk

1-2 liquidity funding risk.mp4.mp4

1-3 Liquidity Black Hole

2-1 funding liquidity risk

2-2 leverage and forms of credit in contemporary finance

2-3 transactions liquidity risk

3-1 Early Warning Indicators

4-1 introduction

4-2 popular money and capital market investment instruments

4-3 factors affecting choice of investment securities

4-4 investment maturity strategies

5-1 the demand for and supply of liquidity

5-2 strategies for liquidity managers

5-3 estimating liquidity needs

5-4 legal reserves and money position management.

6-1 uses and sources of intraday liquidity

6-2 risk measurement and monitoring tools for financial institutions

7-1 monitor liquidity

8-1 the failure mechanics of dealer banks

9-1 liquidity stress testing

10-1 liquidity risk reporting and stress testing

11-1 contingency funding planning

12-1 types of deposits offered by depository institutions

12-2 pricing deposits

13-1 alternative non-depiosit sources of funds

13-2 choosing among alternative non-deposit sources

14-1 repurchase agreements structure and uses

14-2 general and special repo rates

15-1 liquidity transfer pricing a guide to better practice

16-1 the US dollar shortage in global banking and international policy response

17-1 covered interest parity lost

18-1 risk management for changing interest rates asset liability management and duration techniques

19-1 illiquidity asset

0-1 current issues

1-1 paper1

2-1 paper2

3-1 paper3

4-1 paper4

5-1 paper5

6-1 paper6

7-1 paper7

8-1 paper8