Chapter 7: Linear Regression [QA-7]
Estimate the correlation coefficient from the R2 measure obtained in linear regressions with a single explanatory variable.
Chapter 8: Regression With Multiple Explanatory Variables [QA-8]
Calculate the regression R2 using the three components of the decomposed variation of the dependent variable data: the explained sum of squares, the total sum of squares, and the residual sum of squares.
Chapter 12: Measuring Returns, Volatility, and Correlation [QA-12]
Compare and contrast the different measures of correlation used to assess dependence.
Chapter 14: Machine-Learning Methods [QA-14]
Chapter 15: Machine Learning and Prediction [QA-15]
Chapter 3. Estimating Market Risk Measures: An Introduction and Overview [MR–1]
Describe coherent risk measures.
Chapter 9：Structured Credit Risk [CR–8]
Describe the treatment of excess spread in a securitization structure and estimate the value of the overcollateralization account at the end of each year.
Chapter 6: Netting, Close-out and Related Aspects [CR–10]
Provide examples of trade compression of derivative positions, calculate net notional exposure amount, and identify the party holding the net contract position in a trade compression.
Chapter 7：Margin (Collateral) and Settlement [CR–11]
Calculate the credit support amount (margin) under various scenarios.
Chapter 17. CVA [CR–13]
Explain the distinctions between unilateral CVA (UCVA) and BCVA, and between unilateral DVA (UDVA) and BCVA.
Chapter 12. An Introduction to Securitization [CR–17]
Determine the notional value of the net contract resulting from trade compression and identify the counterparty with the net contract.
Describe the various features of subprime MBS and explain how these features are designed to protect investors from losses on the underlying mortgage loans.
Distinguish between corporate credit ratings and asset-backed securities (ABS) credit ratings.
Explain how through-the-cycle ABS rating can amplify the housing cycle.
Chapter 1. Introduction to Operational Risk and Resilience [ORR-1]
Chapter 2. Risk Governance [ORR-2]
Chapter 3. Risk Identification [ORR-3]
Chapter 4. Risk Measurement and Assessment [ORR-4]
Chapter 5. Risk Mitigation [ORR-5]
Chapter 6. Risk Reporting [ORR-6]
Chapter 7: Integrated Risk Management [ORR–7]
Chapter 9. Case Study: Cyberthreats and Information Security Risks [ORR-9]
Chapter 10. “Sound Management of Risks related to Money Laundering and Financing of Terrorism,” Basel Committee on Banking Supervision, January 2014, revised July 2020. (through p.16, para. 83) [ORR-10]
Chapter 11. Case Study: Financial Crime and Fraud [ORR-11]
Chapter 13. Case Study: Third-Party Risk Management [ORR-13]
Chapter 14. Case Study: Investor Protection and Compliance Risks in Investment Activities [ORR-14]
Chapter 16. Case Study: Model Risk and Model Validation [ORR-16]
Til Schuermann, (2014), “Stress Testing Banks,” International Journal of Forecasting, 30:3, 717–728. [ORR–17]
Chapter 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement [ORR–18]
“Range of practices and issues in economic capital frameworks,” Basel Committee on Banking Supervision Publication, March 2009. [ORR–19]
“Capital Planning at Large Bank Holding Companies: Supervisory Expectations and Range of Current Practice,” Board of Governors of the Federal Reserve System, August 2013. [ORR–20]
Mark Carey, “Capital Regulation Before the Global Financial Crisis,” GARP Risk Institute, April 2019. [ORR-21]
Mark Carey, “Solvency, Liquidity and Other Regulation After the Global Financial Crisis,” GARP Risk Institute, April 2019. [ORR-22]
“High-level summary of Basel III reforms,” Basel Committee on Banking Supervision Publication, December 2017. [ORR-23]
“Basel III: Finalising post-crisis reforms,” Basel Committee on Banking Supervision Publication, December 2017, pp. 128-136. [ORR-24]
保留了Artificial Intelligence/Machine Learning两篇文章，删除了6篇文章，新增了6篇热点文章，关于气候风险、通货膨胀风险、区块链、加密货币和去中心化金融。
Machine Learning and AI
Aziz, S. and M. Dowling (2019). “Machine Learning and AI for Risk Management”, in T. Lynn, G. Mooney, P. Rosati, and M. Cummins (eds.), Disrupting Finance: FinTech and Strategy in the 21st Century, Palgrave, 2019)
“Artificial Intelligence Risk & Governance,” Artificial Intelligence/Machine Learning Risk & Security Working Group (AIRS)
“Climate-related risk drivers and their transmission channels,” Basel Committee on Banking Supervision Publication, April 2021
“Climate- related financial risks – measurement methodologies,” Basel Committee on Banking Supervision Publication, April 2021
“Principles for the effective management and supervision of climate-related financial risks,” Basel Committee on Banking Supervision Publication, June 2022
“Inflation: a look under the hood,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 41-64
Blockchain, Cryptocurrency, and Decentralized Finance
David Andolfatto and Fernando M. Martin, “The Blockchain Revolution: Decoding Digital Currencies,” Federal Reserve Bank of St. Louis Review, Third Quarter 2022, pp. 149-65
“The future monetary system,” Annual Economic Report, Basel Committee on Banking Supervision Publication, June 2022, pp. 75-103