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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:
5 | 35
Course content:
- Credit and counterparty risk management
- Liquidity risk management
- Interest rate risk management
- Case study: Financial Risk Management in a Universal Bank
- Case study: Insights into the Financial Crisis
Educational objective:
Lernziele:
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.
Further information about the exams:
Exam = End Term Group Paper
Exam Term Paper Liquidity and Credit Risk Management
Task: Form groups of minimum 4/maximum 5 students and write a term paper on a topic illustrating a real-world situation of liquidity and credit risk management.
Length: minimum 10 and maximum 15 pages excluding appendix.
Deadline: 06 June 2023
You may want to refer to one of the following paper directions:
1. A case study of a corporation/bank/financial institution that experienced a period of financial stress due to a poor liquidity/credit risk management.
2. Describe updated regulations from Basel IIIb concerning liquidity and credit risk resilience: Bank for International Settlements (bis.org) marking the difference to the Basel II regulatory frame. Include in your paper a discussion concerning reactions from academics and/or industry to those regulatory standards.
3. Interview with a banks on challenges of financial regulations for credit and liquidity risk management.
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