RESOURCES
Know About
Changes
54. Stress Testing
- d. Explain key considerations and challenges related to developing stress testing scenarios and building stress testing models
- e. Describe reverse stress testing and describe an example of regulatory stress testing
56. Interest Rates
- h. Describe a swap transaction and explain how a swap market defines par rates.
- i. Describe overnight indexed swaps (OIS) and distinguish OIS rates from LIBOR swap rates.
59. Modeling Non-Parallel Term Structure Shifts and Hedging
- b. Describe key rate shift analysis and define key rate 01 (KR01)
62. Option Sensitivity Measures-The Greeks
- h. Calculate the delta, gamma, and vega of a portfolio.
- e. Describe the dynamic aspects of delta hedging and distinguish between dynamic hedging and hedge-and-forget strategies.