Santiago Forte

                       Risk Management

1. Introduction
2. Market Risk
    2.1. Introduction
    2.2. Sensitivity Analysis
    2.3. The Value at Risk (VaR) concept
          2.3.1. Definition
          2.3.2. Advantages of VaR as a measure of market risk
    2.4. Calculating VaR
          2.4.1. First approximation: parametric VaR
          2.4.2. The Variance-Covariance approach
          2.4.3. The Delta – Normal approach
          2.4.4. The Montecarlo approach
          2.4.5. The Historical Simulation approach
          2.4.6. Comparison of the different methods
    2.5. VaR extensions: Incremental VaR and DeltaVaR
    2.6. VaR in practice
          2.6.1. Mapping
          2.6.2. Back-Testing and Stress-Testing
3. Credit Risk
    3.1. Introduction
    3.2. Single name credit risk: Default probabilities
          3.2.1. Risk rating systems
          3.2.2. Econometric models
          3.2.3. Contingent claim models
    3.3. Portfolio credit risk: CreditVaR
          3.3.1. CreditMetrics
          3.3.2. Other methodologies