1-2. PD x 2
3. Expected Loss
4. Expected Shortfall
5. CVA and fed funds rate
6. Volatility and Strike price
7. Mean reversion Vasicek
8. OIS vs LIBOR for derivatives
9. ERM risk contribution of each project
10. Correlation swap 30%
11. Forward to hedge
12. forward LIBOR, swap
13. lognormal VAR
14. Treynor to pick Fund 3
15. Distance to default least likely - most likely to default
16. Hurdle rate
17. credit VAR
18. VaR increase when adding Y
19. Risk governance
20. Use of historical data can introduce model risk
21. Bitcoin traceability
22. Automation of data - operational risk
23. CCP default, reserves, capital -250,000
24. Electronic trading
25. Autocorrelation
26. French Fama
27. Operational risk longer tail than market risk
28. AMA and standardized
29. Tier 1 capital CoCos
30. CoCos conversion trigger
31. Negative deposit rate
32. Emerging - External markets
33. Subordinated debt in financial distress
34. Higher leverage - weakening financial
35. KRI
36. Short soy futures
37. Move Fund 1 to Fund 3
38. worst case
39. Bitcoin operational risk
40. Lower minimum transfer amount
41. 2% recovery, 10 out of 200 loans default
42. 4 exceptions, backtesting
43. Move T- bonds to AA corporate bonds
44. Wrong way risk with CDS
45. Stress test
46. Risk appetite framework
47. Margin call 700k
48. not increasing deposit rate
49. Originator, SPV
50. Moral hazard, higher reserves
51. Unsmoothing infrequent trades
52. Smoothing
53. 0 bps
54. Generalized Pareto
55. Due diligence of vendors
Anyone remembers the answer to the question of ranking funds from least likely to more likely to default? The funds are called L, M and N.
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