Risk Management in Finance

  1. Credit Risk
    1. Sources of Credit Risk
      1. Default Risk
        1. Counterparty Risk
          1. Settlement Risk
            1. Pre-settlement Risk
              1. Replacement Cost Risk
              2. Concentration Risk
                1. Single Name Concentration
                  1. Sectoral Concentration
                    1. Geographic Concentration
                    2. Country Risk
                      1. Sovereign Risk
                        1. Transfer Risk
                          1. Political Risk
                          2. Wrong-Way Risk
                            1. General Wrong-Way Risk
                              1. Specific Wrong-Way Risk
                            2. Measuring Credit Risk
                              1. Credit Scoring Models
                                1. Qualitative Models
                                  1. Quantitative Models
                                    1. Hybrid Models
                                    2. Credit Ratings
                                      1. Internal Credit Ratings
                                        1. External Credit Ratings (Rating Agencies)
                                          1. Rating Migration
                                            1. Rating Stability
                                            2. Probability of Default (PD)
                                              1. Point-in-Time PD
                                                1. Through-the-Cycle PD
                                                  1. Cumulative PD
                                                  2. Loss Given Default (LGD)
                                                    1. Workout LGD
                                                      1. Market LGD
                                                        1. Downturn LGD
                                                        2. Exposure at Default (EAD)
                                                          1. Current Exposure
                                                            1. Potential Future Exposure
                                                              1. Credit Conversion Factors
                                                              2. Expected Loss (EL)
                                                                1. Unexpected Loss (UL)
                                                                  1. Credit Value Adjustment (CVA)
                                                                    1. Definition and Calculation
                                                                      1. Impact on Derivative Pricing
                                                                        1. CVA Hedging
                                                                        2. Portfolio Credit Risk Models
                                                                          1. Merton Model
                                                                            1. CreditMetrics
                                                                              1. KMV Model
                                                                                1. CreditRisk+
                                                                              2. Managing Credit Risk
                                                                                1. Credit Analysis and Due Diligence
                                                                                  1. Financial Statement Analysis
                                                                                    1. Industry and Sector Analysis
                                                                                      1. Management Assessment
                                                                                        1. Covenant Analysis
                                                                                        2. Setting Credit Limits
                                                                                          1. Counterparty Limits
                                                                                            1. Portfolio Limits
                                                                                              1. Country Limits
                                                                                                1. Product Limits
                                                                                                2. Collateralization
                                                                                                  1. Types of Collateral
                                                                                                    1. Collateral Valuation and Management
                                                                                                      1. Haircuts and Margin Requirements
                                                                                                        1. Collateral Agreements
                                                                                                        2. Netting Agreements
                                                                                                          1. Bilateral Netting
                                                                                                            1. Multilateral Netting
                                                                                                              1. Close-out Netting
                                                                                                              2. Credit Derivatives
                                                                                                                1. Credit Default Swaps (CDS)
                                                                                                                  1. Structure and Function
                                                                                                                    1. Uses in Risk Management
                                                                                                                      1. CDS Pricing
                                                                                                                      2. Total Return Swaps
                                                                                                                        1. Credit Linked Notes
                                                                                                                          1. Collateralized Debt Obligations (CDO)
                                                                                                                            1. Structure and Tranching
                                                                                                                              1. Risk Transfer Mechanisms
                                                                                                                            2. Loan Sales and Securitization
                                                                                                                              1. Asset-Backed Securities
                                                                                                                                1. Mortgage-Backed Securities
                                                                                                                                  1. Loan Participations
                                                                                                                                  2. Credit Insurance
                                                                                                                                    1. Trade Credit Insurance
                                                                                                                                      1. Political Risk Insurance

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                                                                                                                                  3. Market Risk

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                                                                                                                                  5. Liquidity Risk