Course ObjectiveAt the end of the course, students will have a good understanding of
quantitative risk management methods used by financial institutions and
the challenges currently worked upon in the industry.
Course ContentCredit risk management is of vital importance for banks, insurers and
pension funds. Realistic modelling techniques are required for suitably
managing credit risk exposures in loans, bonds and credit-risky
securities. Explicit attention will go out to recent developments for
the pricing and risk management of credit risk, such as default
modelling, credit valuation adjustments and funding. Tools for
counterparty credit risk discussed, among others collateral management
and central clearing parties.
In this course, we will also learn about systemic risk, which is the
risk associated with the financial system as a whole (rather than risk
associated with one particular financial institution). We will
investigate how complex relationships between financial system
participants influence systemic risk, how it can be measured and which
tools are there to control this risk. We will address as a specific
example of systemic risk issues related to central clearing of
derivatives and the resulting relations between credit and liquidity
Finally, throughout all components of the course, model risks are
discussed and general tools are discussed how to deal with model and
parameter uncertainty in practice.
Method of AssessmentWritten exam plus assignments
Entry RequirementsKnowledge of probability and statistics.
LiteratureContents from the following books will be used:
Jon Gregory (2015): The xVA Challenge: Counterparty Credit Risk,
Funding, Collateral, and Capital, 3rd Edition, ISBN: 978-1-119-10941-9.
Brigo et al. (2013): Counterparty Credit Risk, Collateral and Funding:
With Pricing Cases For All Asset Classes, ISBN: 978-0-470-74846-6.
Target AudienceQuantitative Finance, Econometrics and Operations Research.
Additional InformationThis course is meant for students pursuing a career in risk management
at financial institutions such as banks, insurers and pension funds.
Explicit links between academic models and their practical applicability
will be discussed in the lectures and through case studies.
Recommended background knowledgeBasic knowledge of derivatives and basic programming skills.
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. A. van Haastrecht|
|Examiner||dr. A. van Haastrecht|
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