Prof. dr hab. Zenon Marciniak
CORPORATE FINANCIAL RISK MANAGEMENT [234141-0345]
No | Lecture | Teaching Notes | Links |
1 | Risk Management System. Goals. Exposure | RI1.pdf | |
2 | Measuring Risk. Traditional Measures. Value at Risk. EaR. CFaR. Hedging and Speculation |
RI2.pdf | GloriaMundi |
3 | INTEREST RATE RISK. Term Structure of Interest Rates. Conversions | RI3.pdf | |
4 | Spot and Forward Interest Rates. Bootstrapping | RI4.pdf | |
5 | Interest Rate Exposure. Stochastic Methods | RI5.pdf | |
6 | Interest Rate Gap. Duration | RI6.pdf | |
7 | CURRENCY RISK. Spot and Forward Foreign Exchange Rates. Theories |
RI7.pdf | |
8 | Currency Exposure. Value at Risk | RI8.pdf | |
9 | Currency Strategies. Performance Attribution | RI9.pdf | |
10 | CREDIT RISK. Ratings. Default Probabilities. Recovery Rates | RI10.pdf | DefaultRisk |
11 | Credit Exposure. Simulation Methods. Structural and Reduced-Form Models | RI11.pdf | |
12 | Credit Risk Management Systems (CreditRisk+, KMV and EDF, CreditMetrics, Credit Portfolio View) |
RI12.pdf | CreditMetrics (pdf) |
13 | OPERATIONAL RISK. Integrated Systems. Actual Problems | RI13.pdf |