Analysing of typical risk assessment processes. Discussion of advantages and drawbacks of different risk measures.
The objective of the course is to increase the understanding of
• the specific aspects of operative risk management,
• the different types of risk measure,
• how to calculate risk measures,
• the pro and cons of different risk measures,
• the impact of solvency regulations.
1. Introduction
2. Operative Risk Management
3. Price / Market Risk Measures
a. Price Sensitivity
b. Volatility
4. Asset Liability Matching
5. Credit Risk Measures
a. Shortfall Probabilty
b. LPMs
6. Total Risk Measures
a. Portfolio Analysis
b. Convolution
c. Bottom-Up-Method
d. Copula
7. Solvency Regulations
a. Basel Accords
b. Solvency