CHAPTER 7
Risk Types, CVA, Basel III, and OIS Discounting
The foregoing chapters described various financial contracts along with their valuation and risk on an instrument by instrument basis. In reality, internal heads of risk management and government regulators must look at the overall risk of the firm across all trading activities and asset classes.
Risk Types
To make firm-wide risk management tractable, the following general categories of risk must be considered.
Market Risk
Chapters 1–5 all dealt with market risk. This is the risk of losses coming from the market change of asset prices that negatively affect the mark-to-market positions ...
Get Practical Methods of Financial Engineering and Risk Management now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
