3032 Risk Management
Content
- Influence of financial risks on modern business, Regulatory framework for measuring and managing financial risks, Risk factors and probability distributions
- Quantitative modeling of financial risks
- Value at Risk (VaR) methodology
- Expected shortfall (ES) methodology
- Time series modeling
- Stationary time series models
- Non-stationary time series models
- ARCH/GARCH volatility models
- Extreme value theory
- Credit risk measurement models
- structural models
- threshold models
- hybrid models
- Monte Carlo method
- Market risk measurement models
- parametric models
- nonparametric models
- hybrid models
- Operational risk measurement models
- basic indicator approach
- standardized approach
- advanced measurement approaches
Objectives and competences
Students:
- Use the most important knowledge and skills needed for successful economic analysis in the field of risk management.
- Distinguish the characteristics of different types of risks,
- Apply econometric methods in evaluating risks,
- Apply the tools needed for successful risk management.
Competences:
- Understanding the importance and role of risk management in modern business,
- Understanding the newest methods and models in econometric modeling of risks,
- Understanding advanced statistical and mathematical methods used in the field of risks management,
- To be able to practically implement advanced statistical methods in measuring risks,
- Understanding quantitative modeling and backtesting of models used in credit, market and operational risk measurement,
- To critically evaluate characteristics, regulatory practices and risks in different markets,
- Understanding the nature of risk and risk management by using modern financial tools and financial derivatives.