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Instructors: Prof. Dr. Florentina Paraschiv
Event type:
Seminar / exercise
Org-unit: Corporate Management & Economics
Displayed in timetable as:
Advanced Methods | L
Hours per week:
1,5
Credits:
3,0
Location:
Campus der Zeppelin Universität
Language of instruction:
Englisch
Min. | Max. participants:
10 | 26
Course content:
The objective of this course is to offer a comprehensive view of the financial regulations regarding the interest risk, liquidity risk management and credit risk management, as well as on the regulators' requirements on stress testing procedures. After understanding the regulatory framework, students have the opportunity to learn about risk measurement techniques proposed by the academic literature. Case studies from the banking industry will help students to come closer to the implementation of notable stress testing techniques like stressed VaR, Expected Shortfall or Spectral Risk Measures.
Educational objective:
Learn techniques and regulations concerning liquidity and credit risk management in banks.
Learn from practical applications how to cope with these risks.
Further information about the exams:
Exam = End Term Group Paper
Mandatory literature:
Financial regulations files and useful papers will be provided at the class.
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Ja
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