金融风险--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.