| Description |
After completing the course, students will be able to thoroughly assess and pragmatically handle various types of financial risk typical for financial markets, such as market risk and credit risk. Students will acquire a deeper understanding of financial instruments available to risk managers and learn to contemplate them as effective means to hedge and diversify financial risk. Specifically, students will gain knowledge in the following areas:
- Incentives and risks in financial institutions
- Risk management and firm value
- Credit risk and counterparty risk (estimating default probabilities, structure of credit ratings, credit ratings transition matrices, Credit Value at Risk (CVaR))
- Trading in financial markets (types of markets, clearing, long and short positions in assets, derivatives markets, the risk profile of options, futures, forwards, swaps and other
derivatives)
- Hedging Foreign Exchange (FX) exposure
- Market risk (delta, gamma, vega, theta, and rho exposures, Value at Risk (VaR) models, model risk)
- Origins of the Financial crisis of 2007–2008 (role of credit rating agencies and analysis of their incentives)
- Operational risk
- Regulation: scenario analysis and stress testing in the context of current regulatory
frameworks
- ESG from the risk management perspective
- Case studies in risk management (Bankers Trust, Barings, Fannie Mae and Freddie Mac, Long
Term Capital Management (LTCM), Metallgesellschaft, Northern Rock, Orange County,
Washington Mutual) |
User:
Öffentlicher Bereich
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