Модели оценки рисков
- To apply obtained knowledge by students to the analysis of a real case of the risk management system failure.
- To apply studied concepts and methods to quantifying market risk (stock and bond portfolios) and credit risk (loan portfolio).
- Identify, classify and analyze enterprise risks.
- Critically analyze a corporate process from risk management view.
- Select data for the quantitative risk analysis.
- Assess the quality and limitations of risk models in a different context.
- Make their own assumptions and evaluate them from the perspective of practically reliable risk assessment.
- Build, estimate, apply and validate several models to real data in order to assess portfolio market and credit risk.
- Enterprise risk management.
- Basics of risk assessment methodology.
- Quantitative method of portfolio market risk assessment.
- Quantitative method of portfolio credit risk assessment.
- Risk management failure case study
- Calculation assignment on measuring market risk
- Calculation assignment on measuring credit risk
- Interim assessment (3 module)0.35 * Calculation assignment on measuring credit risk + 0.35 * Calculation assignment on measuring market risk + 0.3 * Risk management failure case study
- Crouhy, M., Mark, R., & Galai, D. (2006). The Essentials of Risk Management. [New York]: McGraw-Hill Professional. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=309132
- Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts. (2015). Quantitative Risk Management: Concepts, Techniques and Tools Revised edition. Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.pup.pbooks.10496