金融風險--Chapter 2 Market Risk Management（PPT 53）

Chapter 2 Market Risk Management
1 Introduction to Market Risk Management
2 Measuring market risk: sensitivity approach
3 Measuring market risk: VaR approach
4 Measuring market risk: other approaches
5 Hedging and Insuring with Derivatives

1.Introduction to Market Risk Management
1.1 definitions
Volatility and Sensitivity
1.2 nature and characteristics,
1.3 history and regulation,
1.4 management strategies and instruments
1.5 Measurement approaches
Sensitivity approach,
VaR approach
Other approach (Stress testing)

1.6 trading book vs. banking book

Assets Liabilities
Loan Deposits
Banking Book Other illiquid assets Capital
Bonds(long) Bond(short)
Commodities(long) Commodities (short)
Trading Book FX(long) FX(short)
Equities(long) Equities(short)
Derivatives* (long) Derivatives(short)

* Derivatives are off balance-sheet.

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