Financial Risk Management and Modelling

Code: MA477 | L-T-P-C: 3-0-0-6

Prerequistes: MA373 Financial Engineering II or equivalent

Basics of financial risk management, Identification of major financial risks: interest rate risk, market risk, credit risk, operational risk, liquidity risk, model risk; Basel and Solvency regulations; Market risk: Value-at-Risk (VaR), computation of VaR, coherent measures of risk and risk management; Credit risk: basics of credit risk management, modelling correlated defaults, asset value models, Credit Risk+ model, term structure of default probability, credit derivatives, collateralize debt obligations(CDOs).

Texts/References:

1. J.C. Hull, Risk Management and Financial Institutions, 4th Edition, Wiley, 2016.
2. M.J. Capinski and E. Kopp, Portfolio Theory and Risk Management, Cambridge University Press, 2014
3. C. Bluhm, L. Overbeck and C. Wagner, Introduction to Credit Risk Modeling, 2nd Edition, CRC Press, 2010
4. T.R. Bielecki and M. Rutkowski, Credit Risk: Modeling, Valuation and Hedging, Springer, 2004.