1. Risk Management: A HistoryBy
D. Sykes Wilford
Professor, The Citadel
And Senior Advisor, Access Corporate Finance .
D. Sykes Wilford

2. History of Risk Management in Banks: Using the Language
Developed in Response to Losses
Tools are just Tools, not Solutions
Technique vs. Theory
SIVs – The Perfect Misunderstanding
D. Sykes Wilford

3. Treasury Rates and Bank Risk Measures 1975 – 2009
Income
D. Sykes Wilford

4. Why Worry about Value Changes!!!
FOCUS IS ON INCOME
D. Sykes Wilford

5. Treasury Rates and Bank Risk Measures RATES QUICKLY DOUBLE AND MORE
Income
Duration
D. Sykes Wilford

6. VALUE CHANGES CAN BREAK THE BANK!!!
D. Sykes Wilford

7. Treasury Rates and Bank Risk Measures
Convexity
Duration
D. Sykes Wilford

8. NON-LINEAR VALUE CHANGES WILL BREAK THE BANK!!!
D. Sykes Wilford

9. Treasury Rates and Bank Risk Measures
Convexity
Options, Delta
and Gamma
Duration
SEARCHING FOR NEW WAYS TO DEAL WITH NON-LINEAR ISSUES
D. Sykes Wilford

10. Treasury Rates and Bank Risk Measures
Convexity
Options, Delta
and Gamma
Duration
Vega
D. Sykes Wilford

11. Treasury Rates and Bank Risk Measures
Convexity
Options, Delta
and Gamma
Duration
Vega and Greeks
D. Sykes Wilford

12. Treasury Rates and Bank Risk Measures
Convexity
Options, Delta
and Gamma
Correlation
Duration
Vega and Greeks
D. Sykes Wilford

13. Treasury Rates and Bank Risk Measures
Convexity
Options, Delta
and Gamma
Correlation
Duration
Vega and Greeks
Value at Risk
D. Sykes Wilford

14. Treasury Rates and Bank Risk Measures
Convexity
Options, Delta
and Gamma
Correlation
Duration
Value at Risk
Vega and Greeks
Monte Carlo
and Shocked Portfolio
D. Sykes Wilford

15. The History Duration – Linear and additive (Bonds)
Convexity – Non- Linear
Options Theoretic – Non-Linear Plus
Delta, Gamma – Change (linear), Non-Linear
Vega, Theta & the Greeks – More Non-Linear
Correlation – Stability of Two Relationships
VaR – Multi-Market Relationships ex post
Monte Carlo and Shocks – VaR Possibilities
D. Sykes Wilford

16. Rates Lower and Lower: Why Worry!
D. Sykes Wilford

17. RISK DROVE THE TECHNOLOGY: TREASURIES HAVE CALMED DOWN – BUT WHAT ABOUT Oil?
D. Sykes Wilford

18. Change in the Price of Oil in Dollars 1986 – 2009 Monthly Data
Change in Dollars Per bbl
The average price of Oil was USD 23 between 1986 and 2005
Average = USD 71 between 2005 and end of 2009
D. Sykes Wilford

19. Change in the Price of Oil in Dollars 1986 – 2009 Monthly Data
Change in Dollars Per bbl
The average price of Oil was USD 23 between 1986 and 2005
Average = USD 71 between 2005 and end of 2009
D. Sykes Wilford

20. Oil: Still plenty of Risk
July 2014 oil hits $107 then falls to $28 in Feb 2016
Feb 28, 2016 – Feb : Double in Price
D. Sykes Wilford

21. Volatility of Dollar Euro falls Euro rises! How Low can it go?
D. Sykes Wilford

22. Bank Capital Requirement of All Euroland Counties the Same
March 2, 2017.
Reality
Euro Lead up
Bank Capital Requirement of All Euroland Counties the Same

23. Percentage Changes Reality Returns Lead up to the Euro
March 2, 2017.
Percentage Changes
Period of Artificial Demand: 0 Capital for Euroland Banks
Reality Returns
Lead up to the Euro

24. Looking at Client Risks: Language
Duration: Debt on the balance sheet
Convexity: Yes with debt
Options: Many places on both sides
Delta, Gamma, Lambda etc.
Correlations: Remember the Copper Company’s Correlation between Pcu and i
Value at Risk: Banks, Hedge Funds
Simulations: Should be a Standard Tool
Shocked Portfolios
D. Sykes Wilford