The concept of risk and its importance for risk management in a financial institution, risk classification (liquidity, interest rates, currency, credit, operational and other). Legal regulations affecting financial risk management.
• Liquidity risk - traditional management methods: liquidity pool, asset-liability conversion, active liquidity management, German approaches.
• Liquidity risk – the measurement of liquidity risk: cash capital, liquidity ratios, core deposits, gap analysis. The model of liquidity in a bank, the ordinary and crisis situation.
• Market risk and its types. Interest rate risk - reasons and types, modeling of interest rates in a static approach (cubic spline models, Nelson-Siegel-Svensson model), introduction to random modeling of the evolution of the temporary rate, methods of measuring the interest rate risk (gap method - gap, limits, durations and its developments).
• Interest rate risk - duration and its interpretation, convexity, velocity. Special forms of durations for banking instruments: effective duration, elastic duration, example of stochastic duration.
• The possible purposes in interest rate risk management, dynamic changes in the yield curve, matching the position taken by the bank in order to limit the risk, the use of forward instruments to limit the risk.
• Currency risk - currency positions and limits, the reduction of position in portfolio preserving variance, banking supervision recommendations (Commission for Financial Supervision).
• Currency risk - using the value-at-risk measure (VaR) for currency positions. Characteristics of VaR and selected estimation methods (historical simulation and Filtered Historical Simulation, variance-covariance, GARCH and Monte Carlo). Specific methods of VaR Calculation (conditional VaR, VaR calculated from the tail of the distribution, etc.). Back-testing and stress-testing.
• The concept of credit risk and its significance. Differences between risk in financial institutions and enterprises. Pre-credit, credit and post-credit risk. The role of supervisory rules, with particular emphasis on the provisions of the New Basel Capital Accord (Basel II). Risk management: identification, measurement, modeling and monitoring of the risk.
• Measurement of pre-credit risk - assessment of the willingness to repay the liability (scoring and credit rating - differences) and financial ability to repay. Assessment of capital requirements. Indicator analysis of selected entities according to point tables (individual borrower and enterprise).
• Credit risk. The problem of information asymmetry in the selection of the loan portfolio, diversification of credit exposure. Impact of the level of credit risk on the bank's financial result (IAS 39). Credit migration models and default models (KMV Model, Risk Metrics, Credit Risk Plus, Credit Portfolio).
Szacunkowy nakład pracy studenta:
Typ aktywności K (kontaktowe) S (samodzielne)
zajęcia wykład 30 0
zajęcia ćwiczenia 30 0
przygotowanie do ćwiczeń 0 10
przygotowanie do kolokwium 0 10
przygotowanie do egzaminu 0 15
kolokwium 2 0
egzamin 3 0
Razem 65 35 = 100