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.
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
If you would like to buy the “Setting Counterparty Limits” course, 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.