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 RD1.pdf BIS statistics
2 Measuring Risk. Traditional Measures. Value at Risk. EaR. CFaR. Hedging and Speculation RD2.pdf RiskMetrics1 (pdf)
RiskMetrics2 (pdf)
RiskMetrics3 (pdf)
RiskMetrics4 (pdf)
RiskMetrics5 (pdf)
3 INTEREST RATE RISK. Term Structure of Interest Rates. Conversions RD3.pdf
4 Spot and Forward Interest Rates. Bootstrapping RD4.pdf
5 Interest Rate Exposure. Stochastic Methods. Interest Rate Gap. Duration RD5.pdf
6 Interest Rate Derivatives (FRA, IRS, Interest Rate Futures and Options) RD6.pdf
7 CURRENCY RISK. Spot and Forward Foreign Exchange Rates. Theories RD7.pdf
8 Currency Exposure. Value at Risk. RD8.pdf
9 Currency Derivatives. Forward. Futures. Currency Interest Rate Swap. Currency Basis Swap. Currency Options RD9.pdf
10 Currency Strategies. Currency Risk Management with Forward, Futures and Options. Hedge Ratios. Performance Attribution RD10.pdf
11 CREDIT RISK. Ratings. Default Probabilities. Recovery Rates RD11.pdf DefaultRisk
12 Credit Exposure. Simulation Methods. Structural and Reduced-Form Models RD12.pdf CreditMetrics (pdf)
13 Credit Risk Management Systems (CreditRisk+, KMV and EDF,
CreditMetrics, Credit Portfolio View)
14 Credit Derivatives. Credit Default Swap. Total Return Swap. Credit Forward. Credit Options RD14.pdf
15 OPERATIONAL RISK. Integrated Systems. Actual Problems RD15.pdf

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