Credit, Complexity and Systemic Risk

2018-2019

Course Objective

At 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 Content

Credit 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, funding. Tools for mitigating
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
risk.

Teaching Methods

Lectures

Method of Assessment

Written exam plus assignments

Entry Requirements

Knowledge of probability and statistics.

Literature

Contents 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 Audience

Quantitative Finance, Econometrics and Operations Research.

Additional Information

This 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 case studies.

Recommended background knowledge

Basic knowledge of derivatives.

General Information

Course Code E_FIN_CCSR
Credits 6 EC
Period P4
Course Level 400
Language of Tuition English
Faculty School of Business and Economics
Course Coordinator dr. A. van Haastrecht
Examiner dr. A. van Haastrecht
Teaching Staff

Practical Information

You need to register for this course yourself

Last-minute registration is available for this course.

Teaching Methods Lecture
Target audiences

This course is also available as: