2. Plan
Greeks • Delta, Gamma, Vega, Theta
• Derivative Portfolio
Hedging • Method II, EGS Case
• DPD Analysis
Credit Risk • PD Models, Barclays Bank
Capital Adequacy • Capital Adequacy Models
& ICAAP • Stress Testing, Solvency II
How to kill a bank • Integrated Bank Simulation
in one day • Liquidity, Capital, Market Risk
3. ALM • Asset Liability Management
Delta Hedging • Derivative Portfolio Greeks
Barclays Bank • Libor Crisis, FI Limits, PD Models
Value at Risk • Margin Lending & FI Limits
Liquidity Stress
• Extending Capital Adequacy
Testing
Enron Gas
• Running a risk book
Services
5. Moneyness & value change
Deep Out • Change in value?
of Money • Volatility
At or Near • Change in value?
Money • Strike, Spot
Deep in • Change in value?
• Time
Money
6. The Greeks
Delta • Change in value on account of a unit change in
the underlying
Gamma • Change in Delta on account of a unit change in
the underlying
Vega • Change in value on account of change in volatility
Theta • Change in value on account of change in time
Rho • Change in value on account of change in interest
rates