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Financial Institutions Management 2


Cilji predmeta

- Upgrading of the knowledge about financial institutions, as it was covered in other courses.
- Students are expected to become familiar with different types of risks important for financial intermediaries (e.g. interest rate risk, credit risk,…). The emphasis is on the risk aspects, that are more important from the point of view of financial intermediaries.

Vsebina predmeta

1. Risks of financial intermediaries
2. Market risk - estimation of exposures and hedging
2.1. Different possibilities for market risk measurement
2.2. Var models for market risk measurement
2.3. Models that are not based on Var method
2.4. Hedging against market risk
3. Interest rate risk - estimation of exposures and hedging
3.1. Factors determining interest rate risk exposures
3.2. Hedging against interest rate risk
4. Foreign exchange risk - estimation of exposures and hedging
4.1. Significance of FX risk measurement and measurement models
4.2. Hedging against FX risk
5. Credit risk - estimation of exposures and hedging
5.1. Different models for credit risk measurement and their applications
5.2. Hedging against credit risk
6. Operational risk - estimation of exposures and hedging
6.1. Formation of data basis for operational risk management
6.2. Models for operational risk measurement
6.3. Management of operational risk
6.4. Hedging against operational risk
7. Stress testing and scenario analisis
7.1. Typology of stress tests and their applications
7.2. Design of stress tests and interpretations of the results
7.3. Generation of scenarios
8. Model risk
8.1. Potential dangers in the use of models
8.2. Risk management mistakes

Nosilci predmeta

  • Govorilne ure
  • ponedeljek ob 0.00 v Zoom
  • Po dogovoru preko emaila / By appointment via email
  • POZOR: Aktualna sprememba govorilnih ur
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