Financial Risk Management (2025) - Topic 1: Introduction to Financial Risk Management: 1.2 Financial Assets and Instruments

Introduces financial risk management as the discipline of identifying, analysing and mitigating risks in financial markets, covering core motivations, typical sources of uncertainty and the overarching goal of protecting financial health while enabling opportunity. Contents of Professor Carol Alexander's Financial Risk Management 2025 Playlist: Topic 1: Introduction to Financial Risk Management 1. What is Financial Risk Management? 2. Financial Assets and Instruments 3. Companies and Institutions in Financial Markets Topic 2: Credit Risk Management 1. Fixed Income Products 2. Cash Flows and Net Present Value (NPV) 3. Credit Risk: Spreads, Rating and Value-at-Risk (VaR) 4. What Drives the Interest Rate Swap (IRS) Market? 5. Credit Derivatives and the Banking Crisis Topic 3: Portfolios, Returns and their Distributions 1. Profit and Loss (P&L) and Returns 2. Normal Distributions 3. Matrix Algebra 4. Statistical Operators 5. Portfolio Holdings and Weights 6. Portfolio Volatility Topic 4: Volatility and Value-at-Risk 1. Defining Value-at-Risk (VaR) 2. Introducing VaR Models 3. Building VaR Models 4. Comparison of VaR Models 5. Creating Time Series of Volatility 6. Scaling VaR to Different Time Horizons Topic 5: Fixed Income Portfolios 1. Cash-Flow Portfolios and their Risk Factors 2. Mapping Cash Flows 3. Value at Risk for Cash-Flow Portfolios 4. Example: VaR for a Gilts Portfolio Topic 6: International Equity and Commodity Portfolios 1. Single Index Model 2. VaR with One Equity Risk Factor 3. Equity VaR with Multiple Risk Factors 4. VaR for International Equity Portfolios 5. VaR for Commodity Portfolios Topic 7: Risk Management for Options Portfolios 1. Introduction to Options 2. The Black–Scholes Model 3. The Greeks 4. Mathematical Background 5. Hedging Options 6. Measuring VaR for an Options Portfolio Topic 8: Capital Reserves for Market Risk 1. Balance Sheets and Capital Reserves for Banks 2. Minimum Capital Ratios for Banks 3. Fundamental Review of the Trading Book 4. Validation of Internal Risk Models 5. Statistical Backtests 6. Scenario Analysis and Stress Testing Portfolios