WHAT ARE BUCKETS? WHAT IS THE GENERAL IDEA BEHIND THE REPRICING MODEL?

WHAT ARE BUCKETS? WHAT IS THE GENERAL IDEA BEHIND THE REPRICING MODEL? DESCRIBE THE VAR APPROACH TO MARKET RISK. IS VAR RELATED TO THE NORMAL DISTRIBUTION? CAN VAR HANDLE EXTREME EVENTS (BLACK SWANS)? EXPLAIN IN GENERAL TERMS HOW VAR CAN BE APPLIED TO PORTFOLIOS. WHAT IS OFF-BALANCE-SHEET (OBS) RISK? DISCUSS THE MAJOR TYPES OF OBS ACTIVITIES AND BRIEFLY EXPLAIN THE TYPE OF RISKS THEY INVOLVE. WHAT IS FINANCIAL LEVERAGE? HOW IS IT RELATED TO FUTURES CONTRACTS? EXPLAIN FUTURES MARGIN AND MAINTENANCE MARGIN. DISCUSS HOW FUTURES ARE USED TO HEDGE AGAINST PRICE VOLATILITY. WHAT HAPPENS TO MANAGEMENT’S CONCERN ABOUT PRICE VOLATILITY ONCE YOU ARE HEDGED? PLEASE EXPLAIN HOW A HEDGE IS DONE WITH FUTURES – YOU COULD USE THE CLASS EXAMPLE OF THE REFINERY DISCUSSED IN CLASS AND WHICH IS IN THE LECTURE NOTES IN BB.

 

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