Banking Risk

Η Ενότητα "Banking Risk" είναι μέρος του εκπαιδευτικού προγράμματος "Certified Chief Risk Officer (C-CRO)"

Introduction to Risk Management
- Lessons from financial disasters
- Brief history of risk metrics and risk management techniques
  - Introduction to different metrics: Value at Risk, Expected Shortfall, Potential Future Exposure
- Real world asset dynamics
VaR: Historical simulation
- Advantages and disadvantages
- Error estimation techniques
- Refinements and improvements
- Filtered historical simulation
VaR: Parametric evaluation
- Basic formulation and Matrix notation
- Marginal, incremental and component VaR
- Factor loadings
- Variance – covariance matrix
- Minimum Variance Hedge
VaR: Monte Carlo simulation
- Value at risk: Monte Carlo simulation
- Monte Carlo applications in finance
- Long term market simulations
- Non-linear derivatives (options)
- Hedge effectiveness
Credit risk
- Credit instruments and asymmetric payoffs
- Returns of credit portfolios
- Modeling the credit event
  - Merton model
  - Credit-metrics approach
  - Single factor model and Basel II formulas
- Where market and credit risk intersect: Credit Valuation Adjustment

Date	1st & 2nd Teaching Hour	Break	3rd & 4th Teaching Hour
4th of November	18.30 - 20.00	20:00 - 20:15	20.15 - 21.45
6th of November	18.30 - 20.00	20:00 - 20:15	20:15 - 21:45

400 €

Γιάννης
Συνοδινός, PhDAssistant General Manager:
Head, Group Model Validation and
Governance Sector at Eurobank

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