Prof. dr hab. Zenon Marciniak


Course Overview, Objectives, Methodology
Course Materials
Grading Schedule & Exam

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.
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

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