FIN 801 Chapter Notes - Chapter 23-28: Financial Instrument, Risk-Adjusted Return On Capital, Interest Rate Risk

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15 Apr 2018

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Chapter 12: value at risk & expected shortfall. Chapter 15: basel i, basel ii, and solvency ii. Chapter 16: basel ii. 5, basel iii, and other post crisis changes. Chapter 17: fundemental review of the trading book. Chapter 13: historical simulation & extreme pricing theory. Chapter 18: managing credit risk: margin, otc markets, & ccps. Defining operational risk (a) the impact of credit losses, (b) the profits or losses from market risk exposure. Basel: the risk of loss resulting from inadequate or failed internal processes, people, and systems or from external events. Banks have 3 alternatives for determining operational risk regulatory c apital. Under this approach, operational risk capital is set to equal to 15% of annual gross income over the previous 3 years. A slightly more complicated one is, standardized approach. In this bank"s activities are divided into 8 business lines: corporate finance, trading and sales, retail banking, commercial banking, payment and settlement, agency services, asset management, and retail brokerage.

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FIN 801 Chapter Notes - Chapter 23-28: Financial Instrument, Risk-Adjusted Return On Capital, Interest Rate Risk

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