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Published by owltbig

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Published by: owltbig on Sep 18, 2010
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Capital Allocation and RAPM Learning Outcome StatementThe candidate should be able to:Describe the Role of Capital in a Financial InstitutionDefine and Describe the different types of capitalDemonstrate Economic CapitalDescribe the different approaches to calculating EconomicCapitalDescribe Regulatory CapitalExplain the Basel NormsExplain the Derivation of Regulatory CapitalExplain Capital AllocationDemonstrate the Risk Contribution Methodologies for EconomicCapital AllocationExplain Risk Adjusted Performance Measurement (RAPM)Demonstrate Risk Adjusted Return On Capital (RAROC)Define Market RiskExplain the importance of market riskDifferentiate Market Risk from other risksDescribe the Market Risk Management TasksDescribe the organization of Market Risk ManagementExplain Market Risk Management in Fund ManagementExplain Market Risk Management in BankingExplain Market Risk Management in Non-financial firmsDefine Value-at-Risk VaRDiscuss Internal Models for Market Risk CapitalDemonstrate Analytical VaR ModelExplain Monte Carlo Simulation VaR modelDemonstrate Historical Simulation VaR modelDescribe Risk Factor MappingDemonstrate Mapping Spot PositionsDemonstrate Mapping Equity PositionsDemonstrate Mapping Zero-Coupon BondsDescribe Mapping Forward/Futures PositionsDemonstrate Mapping Complex PositionsDemonstrate Mapping Options: Delta and Delta-Gamma ApproachesDescribe Backtesting of VaR modelsExplain Central Limit Theorem and non-normality of financial marketsDiscuss the issues related to the three VaR modelsDemonstrate Standard Distributional AssumptionsDemonstrate Volatility Clustering ModelsDemonstrate impact of Volatility Clustering on VaRDiscuss GARCH model
Demonstrate VaR with the Student’s t distributionExplain VaR with Extreme Value TheoryDemonstrate VaR with Normal MixturesDescribe the rules for disaggregating riskDemonstrate Incremental VaR (IVaR)Demonstrate Component VaR (CVaR)Demonstrate Principal Component Analysis (PCA)Explain VaR with PCADefine Stress TestingDescribe the historical and conceptual context of stress testingExplain Historical Scenarios ApproachesDemonstrate Hypothetical Scenarios ApproachesDemonstrate Algorithmic ApproachesDescribe Extreme Value Theory as a Stress-Testing MethodDescribe the factors which determine liquidity risks, and their pricingconsiderationsIdentify the processes concerning collateral managementDiscuss the implications of managing liquidity across business lines, legalentities, and currenciesList the elements of funding diversification and market accessContrast the choices for intra-day management of liquidityIdentify and differentiate the early warning signs of compromised liquidityDescribe the components required for the disclosure of liquidity riskIdentify, and design, the requirements of Stress Testing and a liquidity buffer Characterize the basic elements of financial contracts, their correspondingliquidity, and the relevance of timeDescribe the essential components of market, and funding, liquidity riskDiscuss the impacts of counterparty / credit risk on liquidity relative tospeads, defaults, credit enhancements, and asset based enhancementsDescribe the impact of behaviour on liquidity with respect to drawings, repayments, prepayments and draw-downsDerive the impact of insurance risk on liquidityDemonstrate the purpose, and effect of liquidity gap reports, and Liquidity atRisk (LAR)Describe the components of the contents used for internal and externalliquidity reportingState clearly the need for, conditions governing, and outcomes of theSupervisory Capital Assessment Program (SCAP)Demonstrate an understanding of the processes involved in SCAP loss andresource projectionsDemonstrate an understanding of the SCAP capital buffer Describe the calculation of additional capital to build a SCAP buffer Identify the indicated additional capital buffer under SCAPDescribe the components of the FSA proposed changes to reverse stresstesting
Describe the clarifications to Pillar I and II proposed by the FSAExplain the findings of the BCBS relative to the performance of stress testingduring the crisisDescribe the 15 recommendations made to banks made by the BCBSDescribe the 6 recommendations made to supervisors by the BCBSDescribe the responsibilities of a credit risk manager Describe the Review of Strategic Credit PositionsDescribe Credit Limits and ProvisionsExplain Credit Exposure Measurement IssuesDemonstrate Credit Risk ReportingDescribe Stress and Scenario AnalysisDescribe ProvisioningDescribe DocumentationDescribe Credit ProtectionDescribe Annual tasks of the credit officer Define Default RiskDefine Exposure, Default and Recovery ProcessesExplain the Credit Loss DistributionExplain Expected and Unexpected LossDescribe Recovery RatesDiscuss use of beta distribution in credit risk modelingDefine Pre-settlement RiskDefine Settlement RiskDemonstrate Exposure Profiles of Standard Debt ObligationsDemonstrate Exposure Profiles of DerivativesExplain Mitigation of ExposuresDefine and Discuss Default Probabilities and Term Structures of Default RatesDefine Credit RatingsDemonstrate Measurement of Rating AccuracyDescribe the Methodology of Credit Rating followed by Rating AgenciesDemonstrate Transition Matrices, Default Probabilities and Credit Migrationas done by Rating AgenciesExplain Credit ScoringDiscuss the Estimation of the Probability of DefaultDemonstrate Market-Implied Default ProbabilitiesExplain Credit Rating and Credit SpreadsDefine DefaultDescribe new approaches to Credit Risk ModellingExplain Credit VaRDefine Credit Migration

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