Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits

Limits are set by an entity in order to manage and control its risks. In this course we start off with a look at the core principles behind putting effective limits in place and present an overview of the different limits that may be defined.

Defining Risk Appetite, control limits and limit breaches
Limits Control and Business Processes

We then delve deeper into how the various types of limits may be set. In particular we present methodologies and related examples for defining Capital Loss and Stop loss limits; Value-at-Risk (VaR) and Regulatory Approach limits from a Basel II IMA perspective; Duration, Convexity and Present Value of Basis Point (PVBP) limits; Credit Risk limits such as Pre-settlement Risk (PSR) and Settlement Risk Limits.

Capital Loss and Stop Loss – Defining risk appetite?
Setting Limits: Value at Risk and Regulatory Approach Limits
Limits: Trading Limits – Duration, Convexity and PVBP Limits
Credit Risk and Counterparty Limits: Pre-settlement Risk and Settlement Risk

To round off the course we also consider limits set for managing and controlling liquidity and interest rate risks.

Liquidity Management -Setting limits for liquidity risk
Setting Limits: Interest Rate Risk Management

To view the detailed course description, please click on the link –  Setting Counterparty Limits – Detailed Course Description.

Counterparty Risk Limits - Buy now

If you would like to buy the “Setting Counterparty Limits” course as a pdf file, please see the Asset Liability Management (ALM) section at our online finance course store. The online finance course store  includes easy-to-read-and-work-with downloadable pdf files, excel templates and ready-to-work with models that are shared to illustrate usage and speed up learning for advanced financial modeling, forecasting and simulation topics including interest rate forecasting and simulation, value at risk analysis, credit analysis and processes, Internal Capital Adequacy Assessment Process (ICAAP), asset liability management and other related middle office and risk and computational finance topics.