The market risk of trading book Chapter contains:
– the difference between the banking book and the trading book,
– CAPM and performance metrics of investment portfolio (coming soon),
– types of investments funds and their appreciation schemes (coming soon),
– general principles of accounting of market book instruments,
– types of limits, limits cascading, the structure of the trading department, and other general info,
– generic principles of RWA for market risk calculation, while the detailed info on the Basel committee site,
– FV and PL calculation of simple financial instruments (FX forward, European option – Black-Sholes model, interest rate swap),
– Value at risk (VaR), conditional Value at risk (CVaR), age-weighted VaR, VaR for a multi-asset portfolio,
– option strategy calculator, which can be used for testing option strategies.
PS:
– IE means illustrative examples.
– The easiest way to navigate in illustrative examples is to use the “Presentation” file.