1 determine and analyse the duration and convexity approach, Ask an Expert

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1. Determine and analyse the duration and convexity approach to interest rate risk.

2. Operational risk can be assessed either by using a quantitative approach. Explain and analyse that statement.

3. Value-at-Risk (VaR) is defined as the probability of suffering a loss in excess of a given threshold or confidence interval. Can you analyse and appreciate the existing VaR methodologies in terms of market risk evaluation?

4. The Basel 2 Agreement defines Counterparty Credit Risk (CCR) as the risk that the counterparty to a transaction could default before the final settlement of the transaction’s cash flows. Do you think the new Credit Value Adjustment (CVA) methodology is the most appropriate approach to assess the CCR related to over-the-counter transactions?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92416896

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