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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

introduction

M1-1 normal VAR &lognormalVAR

M1-2 Expected shortfall

M1-3 QQ plot

M1-4 practice and summary

M2-1 Drawback of historical simulation

M2-2 weighted approach

M2-3 advantage and disadvantage of Non-parametric

M2-4 practice and summary

M3-1-extreme value-1

M3-1-extreme value-2

M3-2 practice and summary

M4-1-backtesting introduciton

M4-2-backtesting Method

M4-3 Basel rules

M4-4 practice and summary

M5-1 VaR manpping

M5-2 fixed income manpping

M5-3 Derivatives mapping

M5-4 tracking error var

M5-5 practice and summary

M6-1 validating VaR

M6-2 practice and summary

M7-1 backtesting VaR using PIT

M7-2 practice and summary

M8-1 correlation basics

M8-2 correlation tradding

M8-3 two correlation cases

M8-4 correlation risk and other risk

M8-5 practice and summary

M9-1 empirical properties of corelation

M9-2 practice and summary

M10-1 copula modeling

M10-2 practice and summary

M11-1 introductio

M11-2 examples-1

M11-2 examples-2

M11-2 examples-3

M11-2 examples-4

M11-2 examples-5

M11-2 examples-6

M11-3 other issues

M11-4 practice and summary

M12-1 expectation and convexity

M12-2 risk premium

M12-3 practice and summary

M13-1 model 1 and model 2

M13-2 ho-lee

M13-3 vasicek

M13-4 practice and summary

M14-1 volatility models

M14-2 practice and summary

M15-1 Gauss model

M15-2 practice and summary

M16-1 regression heding

M16-2 practice and summary

M17-1 volatility smile

M17-2 practice and summary

M18-1 FRTB

M18-2 practice and summary

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 Introduction of Credit Risk

1-2 Type of Transactions That Create Credit Risk

2-1 Governance

3-1 Introduction to Credit Risk Modeling and Assessment

4-1 Credit Scoring and Rating

5-1 Credit Scoring and Retail Credit Risk Management

5-2 Credit Scoring

6-1 Sovereign Default Risk

6-2 Sovereign Default Risk summary

7-1 Capital Structure in Banks-1

7-1 Capital Structure in Banks-2

7-2 Capital Structure in Banks summary

8-1 Estimating PD from ratinghistorical dataHazard Rate

8-2 Estimating PD From Spread

8-3 Comparison of Default Probabilities Estimates

8-4 Estimating PD From Equity Prices（Merton）

9-1 Credit Value at Risk

10-1-Portfolio Credit Risk(introduction)

10-2-Portfolio Credit Risk(Gaussian Copula Model)

10-3-Portfolio Credit Risk(Single-Factor Model）

10-4-Portfolio Credit Risk（Vasicek’s Model）

10-5-Portfolio Credit Risk （Credit Risk Plus）

10-6-Portfolio Credit Risk （CreditMetrics）

11-1-Credit Risk

12-1 Derivatives market

12-2 CCP and modeling derivatives risk

13-1 Counterparty Risk and Beyond

14-1 Netting, Close-out and Related Aspects

15-1 Margin (Collateral) and Settlement

16-1 Evolution and mechanics

16-2 CCP risk management

17-1-Exposure metrics and mitigation（1）

17-2-Exposure metrics and mitigation（2）

17-3 Impact of Collateral on Counterparty Risk and Funding

17-4 Future Value and Exposure summary

18-1-CVA, DVA and BCVA（1）

18-2-CVA, DVA and BCVA（2）

18-3-Wrong way risk

19-1-Market risk prospective of CCR and stress testing

20-1 Policies and actions

20-2 Loan loss provisioning

21-1-Credit derivatives（CDS)

21-2-Credit derivatives（TRS)

21-3-Credit derivatives（CLN)

21-4-Securitization instruments

22-1-Structured Credit Risk

23-1-Securitization review

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

2-3 Risk Governance

3-1 Risk Identification

2-4 Risk Governance

3-2 Risk Identification

3-3 Risk Identification

3-4 Risk Identification

4-1 Risk Measurement and Assessment

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