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.
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.
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