Lehrende: Prof. Dr. Florentina Paraschiv
Veranstaltungsart: Seminar / Übung
Orga-Einheit: Corporate Management & Economics
Anzeige im Stundenplan: Advanced Methods | L
Semesterwochenstunden: 1,5
Credits: 3,0
Standort: Campus der Zeppelin Universität
Unterrichtssprache: Englisch
Min. | Max. Teilnehmerzahl: 10 | 26
Inhalte: 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.
Lernziele: Learn techniques and regulations concerning liquidity and credit risk management in banks. Learn from practical applications how to cope with these risks.
Weitere Informationen zu den Prüfungsleistungen: Exam = End Term Group Paper
Literatur: Financial regulations files and useful papers will be provided at the class.
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