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Risk management


Aims of the course

No description

Course syllabus

1. Foundations of risk management
- The of risk in corporate governance and its role in value creation
2. Random variables
3. Financial losses and risk management
4. Measuring, modelling and managing market risk
- Value-at-Risk (VAR)
- Linear and non-linear risk and hedging
- Simulations
5. Measuring, modelling and managing credit risk
- approaches to measuring credit risk
- Empirical models
- Credit derivatives
- Integrating market and credit risk management
6. Measuring, modelling and managing liquidity risk
7. Measuring, modelling and managing operational risk
8. Integrated approach to risk management
- Regulatory capital requirements (Basel II, Solvency II)
9. Risk management and investment management
10. Extreme events and stres-tests

Course director(s)

  • Office Hours
  • Thursday at 18:00 in RZ-105
  • Office Hours
  • Monday at 0:00 in Zoom
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