OTC LearnRisk & the Greeks
How a desk measures what it is holding — DV01, the Greeks, the daily explain and value at risk — and how the bank verifies, margins and capitalises it: IPV, UMR, SIMM, CCP margin and SA-CCR.
12 products, each with a five-step lesson, a worked example and a bank of twelve questions.
Risk & the Greeks is part of the OTC Learn subscription; the 36 products the app shipped with are free.
- DV01 and Rate Risk — What one basis point is worth
- Delta and Gamma — The hedge, and how fast the hedge goes stale
- Vega and the Volatility Surface — What a book loses when volatility reprices
- CS01 and Jump to Default — Spread risk and default risk are not the same number
- P&L Attribution — Yesterday’s profit, accounted for line by line
- Value at Risk — One number for tomorrow’s loss, and what it leaves out
- Price Verification and Prudent Valuation — Checking the marks, and holding capital for doubt
- The Uncleared Margin Rules — Who must post initial margin, and when
- ISDA SIMM — The model behind uncleared initial margin
- IM Disputes and Reconciliation — When two SIMM numbers disagree
- CCP Margin Models — How a clearing house sizes its margin
- SA-CCR and CVA Capital — The capital a bank holds against its counterparties