Market Risk Managementyoungyu教学介绍.pptVIP

Chapter 2 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;1.6 trading book vs. banking book; ; ;2. Measuring market risk: sensitivity approach;2.1 Introduction to sensitivity approach;What is sensitivity?; ;Mathematic interpretation of sensitivity;Sensitivity matching principle and risk immunization ;Types of sensitivity measures;2.2 Repricing model; ;Setting maturity buckets;Repricing Gap (In millions of Dollars); ;Applying the Repricing Model;Applying the Repricing Model;Cumulative Gap;GAP ratio: CGAP/A;Impact of CGAP on the relation between Changes in Net Interest Income, Assuming Rate Changes for RSAs Equal Rate Changes for RSLs;CGAP Effects;Spread effect－Unequal changes in rates on RSAs and RSLs;Impact of CGAP on the relation between Changes in Net Interest Income, Allowing for Different Rate Changes for RSAs and RSLs;Features of repricing model;Some fundamental shortcomings;Other Weaknesses ;2.3 Maturity Model;Preparing for bond valuation;A bond example: ;Valuation function of fixed income securities;Relationship: Market interest rate and bond price;Relationship: maturity and capital loss;Taking bond maturity as a sensitivity measure of the bond;Interest Rate Sensitivity and Maturity;Example continued...;Maturity of a portfolio of bonds;Maturity matching and Maturity Gap-- Balance sheet as a portfolio bonds;Impact of positive MGAP on net wealth of the bank;coupon bond as a portfolio ofzero-coupon bonds;Zero-coupon bond vs. Coupon bond;Problems of maturity model;Terms;Questions; ; Suggest Reading and Problem Set