Risk Assessment Models
- To learn general concepts of risk analysis and modeling.
- To practice applying those concepts and methods to the financial risk in a close-to-real-life setting.
- To practice applying those concepts and methods to the financial risk in close-to-real-life setting.
- Analyze risks and identify their components for assessment
- Assess the quality and limitations of risk models in a different context
- Design, estimate, apply and validate several practical risk models
- Formulate basic concepts and principles of risk assessment
- Make conservative assumption and evaluate them from the perspective of practically reliable risk assessment
- Select and process data for the quantitative risk assessment
- Basics of risk analysis and modeling
- Data selection and quality assessment
- Risk model design, assessment, and validation
- Modeling and assessing portfolio market risk
- Modeling and assessing portfolio credit risk
- 2022/2023 1st module0.4 * Final examination + 0.15 * Home project + 0.2 * Asignment test + 0.1 * In-class activity + 0.15 * Assignment test
- 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
- Gunter Löeffler, & Peter N. Posch. (2007). Credit Risk Modeling Using Excel and VBA. Wiley.
- Jon Danielsson. (2011). Financial Risk Forecasting : The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab. Wiley.