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l3 27 risk management

This class was created by Brainscape user Steven Popovic. Visit their profile to learn more about the creator.

By: Steven Popovic
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Decks in this class (13)

a discuss features of the risk management process, risk governance, risk reduction, and an enterprise risk management system;
No deck description has yet been added by the author.
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b evaluate strengths and weaknesses of a company’s risk management process;
No deck description has yet been added by the author.
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c describe steps in an effective enterprise risk management system;
No deck description has yet been added by the author.
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d evaluate a company’s or a portfolio’s exposures to financial and nonfinancial risk factors;
No deck description has yet been added by the author.
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e calculate and interpret value at risk (VAR) and explain its role in measuring overall and individual position market risk;
No deck description has yet been added by the author.
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f compare the analytical (variance–covariance), historical, and Monte Carlo methods for estimating VAR and discuss the advantages and disadvantages of each;
No deck description has yet been added by the author.
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g discuss advantages and limitations of VAR and its extensions, including cash flow at risk, earnings at risk, and tail value at risk;
No deck description has yet been added by the author.
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h compare alternative types of stress testing and discuss advantages and disadvantages of each;
No deck description has yet been added by the author.
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i evaluate the credit risk of an investment position, including forward contract, swap, and option positions;
No deck description has yet been added by the author.
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j demonstrate the use of risk budgeting, position limits, and other methods for managing market risk;
No deck description has yet been added by the author.
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k demonstrate the use of exposure limits, marking to market, collateral, netting arrangements, credit standards, and credit derivatives to manage credit risk;
No deck description has yet been added by the author.
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l discuss the Sharpe ratio, risk- adjusted return on capital, return over maximum drawdown, and the Sortino ratio as measures of risk- adjusted performance;
No deck description has yet been added by the author.
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m demonstrate the use of VAR and stress testing in setting capital requirements.
No deck description has yet been added by the author.
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More about
l3 27 risk management

  • Class purpose General learning

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