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| FINA0064-1 | Financial Risk Modeling
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| Duration : | 30h Th |
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| Number of credits : |
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| Lecturer : | Aline Muller, Jean‑Philippe Peters |
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| Coordinator : | Aline Muller |
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Language(s) of instruction :
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| English language |
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Course contents :
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| Financial Risk Modeling is divided in two parts. The first part of the course reviews credit risk models as implemented in major financial institutions and discusses the improvements that have been made (or could be made) in light of the financial crisis. Particular emphasis is given on the mathematical development of these models as well as on the foundations required to build the models.
The second part of the course focuses on market and liquidity risk. It provides a detailed introduction on how risk, return, and price behavior of securities may be analyzed in competitive markets and how risk may be characterized. The course focuses moreover on how investors and fund managers manage their myriad risk exposures. Key potential areas of model improvements as well as back / stress testing mechanisms are discussed in an interactive way.
It should be stressed that across both parts of the course participants will be continuously challenged via live case studies. |
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