Syllabus
1. Introduction to risk management, definition of risk, objective of risk management and risk classification
2. General methods of risk measuring (standard deviation, Value at Risk, stress testing, RCSA and others) and objective possibilities of risk management (technical and organizational solution or financial solution)
3. Description of operations of banks, insurance companies and corporations - business models and objectives, characteristics of activities, identification of key risks, examples of failures in risk management in the past
4. Market risk - definition, classification, market risk identification, measuring and management
5. Credit risk - definition, identification, risk measuring (individual assessment, statistical approaches, principles of rating and scoring, EWS), credit risk management, PD, LGD, credit margin
6. Liquidity risk - definition, classification, risk measuring, liquidity risk management including the use of stress scenarios, CFP
7. Operational risk - definition, identification, use of statistical methods in risk measuring (LDA method), management methods, BCM
8. Overview of risks - ERM concept, capital as a protection against risks, importance of the individual risks, risk categorisation, definition of other types of risk (IRRBB, reputational risk, concentration risk, model risk, ESG risks etc.)
9. Regulatory requirements of Basel II/III (or CRD V and CRR
2) and Solvency II - purpose of these measures, calculation methods of capital requirements, captured risks, limits of regulation
10. Financial crisis and lessons learned, reasons of its origin and development, discussion about the suitability of using advanced statistical methods for individual risks
Annotation
The content of the course is an overview of risks (especially financial risks) and methods of their measuring and management used in practice mainly in the financial sector. Students will also learn about issues of the application of statistical methods used in practice in the process of risk measuring.
The course will also include the description of regulatory requirements of Basel II/III and Solvency II.