Summary Financial Risk Management

Inhoudsopgave

Hoofdstuk 1: Structuur, objectieven en Inleidende commentaren ...................................................................3
1. Definitie Financial Risk en haar doelen DIA 16 ..........................................................................................3
2. 5 lessen van LTCM DIA 34..........................................................................................................................3
3. Eurozone crisis 2011, Zuidelijke Repo maatregelen DIA 40 .......................................................................3
4. Definities Basel kapitaal, oefening BASEL .................................................................................................3
5. Coherente voorwaarden DIA 125 ..............................................................................................................3

Hoofdstuk 2: Risk Measures ............................................................................................................................3
1. Tracking error, Informatie ratio en voorbeeld DIA 3-8 + samenvatting ....................................................3
2. VAR definitie + Bewijs è DIA 34 + DIA 66 .................................................................................................3
3. Totale risico van Barrings DIA 86...............................................................................................................3
4. VAR, MVAR, IVAR, CVAR DIA 133, oefening ..............................................................................................3
5. Confidence intervals DIA 171.....................................................................................................................3
6. Upscaling VAR numbers DIA 207 ...............................................................................................................3

Hoofdstuk 3: Duration Gap, Interest Rate Swaps .............................................................................................3
1. Dollar Gap DIA 13 ......................................................................................................................................3
2. Duration Gap Methode DIA 16, oefening ppt DIA 30................................................................................3
3. Duration Gap oefening op aanpassen duration DIA 70 ............................................................................3
4. Duration IRS impact DIA 115 & 119...........................................................................................................3

Hoofdstuk 4: Risk management of Financial Institutions .................................................................................3
1. CES DIA 11 .................................................................................................................................................3
2. Cornish-Fisher DIA 53 ................................................................................................................................3
3. LTCM van begin tot einde ..........................................................................................................................3
4. LTCM en de VAR DIA 127 ...........................................................................................................................3

Hoofdstuk 5: VAR verder gaan uitbreiden .......................................................................................................3
1. Historische VAR definitie DIA 32-36...........................................................................................................3
2. Monte Carlo Model definitie DIA 51 ..........................................................................................................3
3. Relatieve VAR DIA 70 + oefening DIA 77 ...................................................................................................3
4. Stresstesting DIA 88-92 .............................................................................................................................3
5. Backtesting DIA 124 formules + DIA 127 mogelijkheden ..........................................................................3

Hoofdstuk 6: Systematisch Risico ....................................................................................................................3
1. Definitie systemic risk DIA 4 & 9 ................................................................................................................3
2. Taylor and Minsky .....................................................................................................................................3
3. CCCC ..........................................................................................................................................................3