After successful completion of the course, students are able to understand the terminology of practial financial risk management in the banking industry, explain the importance of model life-cycle management, and solve practial examples in the area of market and credit risk measurement.
- Risk modelling - Model risk - Risk model management (RMM) - RMM of univariate credit risk models - RMM of market risk portfolio models - RMM of credit risk portfolio models
- Solving practial examples
- Homework exercises
- Classroom presentation