Risk Management in Financial Institutions

Catalog description

Students will develop an in-depth knowledge of the risks facing financialinstitutions, and of the key financial models and techniques by which they manage and control these risks. The major risks include several forms of interest rate, market, and credit risk, and special attention will be placed on the concept and measurement of value at risk (VaR). Also covered will be risks associated with off-balance sheet items, foreign exchange, and sovereigndebt. The key techniques for managing these risks include the uses of futures and forwards, options, swaps, and securitization. The risk-based Basel requirements for capital adequacy will be emphasized.