Risk Management

Aims of the course

Present methodology of addressing separate financial risk, various financial professionals are typically dealing with.

Course syllabus

1. Market Risk Segment
1.1. The Value-at-Risk (VAR) Concept
1.2. Parametrization of Markets
1.3. Historical Simulation
2. Credit Risk Segment
2.1. Conceptual Approaches to Valuation of Default Risk (Reduced Form vs. Structural Models)
2.2. Pricing Defaultable and Suvereign Bonds
2.3. Empirical Models of Defaultable Bond Sreads
2.4. Credit Derivatives
2.5. Integrated Market and Credit Risk Measurement
3. Liquidity Risk Segment
4. Foreign Exchange Risk Segment
5. Operational Risk.

Course director(s)