|Derivatives:||Forwards||Options||Put-Call Parity||Floors and Caps||Swaps|
|Risk Management:||Credit Risk||Credit Derivatives|
|Regulatory Framework:||Basel II Accord||Basel III Accord|
|Textbooks I studied||Curriculum Vitae|
Credit Risk is defined as the risk resulting from the default of a debt or other counterparty instruments.
The introduced CVaR (Credit Value-at-Risk) is seen as a buffer against unusual losses and can serve therefore as Economic Credit Capital (ECC). A formula for calculating CVaR is giiven.
Credit Derivatives ( a few are presented here) help to mitigate a loss.
Also the Basel II - Accord and Basel III - Accord are discussed here and the way of calculating the needed regulatory capital is shown.
Basel III has further strengthened the liquidity risk framework by developing two new standards for funding liquidity, LCR and NSFR.
A facility (at the bottom of each of the pages) was implemented. It allows to download each of the topics.