TABLE OF CONTENTS 
Introduction Page 3 
I/ Describe the advantages and disadvantages for each of the following risk 
measures: Pages 4-8 
A/ DV01 B/ Stress testing 
C/ Scenario testing
 D/ Value at Risk
 II/ In implementing a VaR model, what considerations would you give to each 
of the following: Pages 9-11 
A/ Product complexity 
B/ Liquidity 
C/ Diversity of trading products *
D/ Cost E/ Technology 
III/ You have been asked to do a risk management review of a medium sized hedge fund. 
What are the factors you would consider in evaluating the effectiveness of their risk 
management capabilities? Why are these factors important in effecting risk 
management? Pages 12-15
 IV/ Consider a portfolio that consists of Treasuries, corporate bonds, interest 
rate swaps and options. Pages 16-19 
A/ Describe in the limit structure you would put in place to manage this trading book 
B/ Describe the risk measures you would use to manage the risks in the book. 
References Page 20