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31 risk management (identifying risks (market risk, credit risk, liquidity…
31 risk management
identifying risks
market risk
credit risk
liquidity risk
operational risk
model risk
settlement (Herstatt) risk
regulatory risk
legal / contract risk
tax risk
accounting risk
sovereign and political risk
other risks
measuring risk
measuring market risk
value at risk
elements
analytical or variance-covariance method
historical method
monte carlo simulation method
surplus at risk
advantages and limitations of VAR
extensions and supplements to var
stress testing
scenario analysis
stressing models
measuring credit risk
option-pricing theory and credit risk
credit risk of forward contracts
credit risk of swaps
credit risk of options
liquidity risk
measuring nonfinancial risks
operational risk
managing risk
managing market risk
risk budgeting
managing credit risk
limiting exposure
marking to market
netting
min credit standards and enhanced derivative
transferring with credit devirative
performance evaluation
capital allocation
psychological and behavioral considerations
process
risk governance