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) and objective possibilities of risk management (technical and organizational solution or financial solution)
3. Description of operations of banks, insurance companies and businesses from the point of view of risk management - business objectives, identification of key risks, failures in risk management in the past
4. Market risk - definition, classification, gap analysis, Value at Risk, use of derivatives
5. Credit risk - definition, classification, use of statistical methods in risk measuring (probability of default, rate of return, scoring and rating, expected and unexpected loss), securitization
6. Operational risk - definition, classification, use of statistical methods in risk measuring (LDA method), management methods
7. Liquidity risk - definition, classification, risk measuring including the use of econometric methods.
8. Regulatory measures Basel II a Solvency II - significance of these measures, calculation methods of capital requirements, captured risks, limits of regulation
9. Financial crisis and learning from the crisis, reasons of its origin and development, discussion about the suitability of using advanced statistical methods for individual risks.
Annotation
The content of the lecture is an overview of individual financial risks and methods of their measuring used in practice mainly in the financial sector. Students will also learn about practical issues of the application of statistical methods used in practice in the process of risk measuring. The lecture will also include the description of operations of new regulatory measures Basel II and Solvency II.