NYIF: Risk Management Tools and Practices

• Define the basis and the various sources of basic risk, and explain how basis risks arise when hedging with futures.
• Define cross hedging and the minimum variance hedge ratio and hedge effectiveness.
• Define and interpret the optimal number of futures contracts needed to hedge an exposure, including a “tailing the hedge” adjustment.
• Demonstrate how to use stock market index futures contracts to change a stock portfolio’s beta.
• Understand covered call and protective put strategies.
• Understand the purpose and pay-offs of various option spread strategies.
• Describe the ALM function of a typical commercial bank.
• Understand balance sheet risks associated with funding gaps and duration gaps.
• Define, compare and contrast economic capital, risk capital and regulatory capital.

Module 1: Risk Reporting

• Lesson 1: Profit Distribution
• Lesson 2: Risk by Risk Factor
• Lesson 3: Risk Over Time

Module 2: Model Risk

• Lesson 1: Sources of Model Risk
• Lesson 2: VaR Back Testing
• Lesson 3: VaR Exceptions
• Lesson 4: VaR Exposure Monitoring

Module 3: Risk Management Tools

• Lesson 1: Equity Swaps
• Lesson 2: Hedging with Index Futures

Module 4: Liquidity and Operational Risk Management

• Lesson 1: Liquidity
• Lesson 2: Liquidity Risk
• Lesson 3: Operational Risk Management

Module 5: Asset and Liability Management

• Lesson 1: Interest Rate Risk
• Lesson 2: Duration Gap Risk
• Lesson 3: Balance Sheet Immunization
• Lesson 4: Duration Gap vs Funding Gap
• Lesson 5: Banking Book vs Trading Book
• Lesson 6: ALM Governance