Prof. dr hab. Zenon Marciniak
FINANCIAL RISK MANAGEMENT AND DERIVATIVES [235221-0345]
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) |
RD13.pdf | |
14 | Credit Derivatives. Credit Default Swap. Total Return Swap. Credit Forward. Credit Options | RD14.pdf | |
15 | OPERATIONAL RISK. Integrated Systems. Actual Problems | RD15.pdf |