Financial Enterprise Risk Engineering

This course deals with risk assessment and engineering in financial systems. It covers credit risk, market risk, operational risk, liquidity risk, and model risk. Topics include classical measures of risk such as VaR, methods for monitoring volatilities and correlations, copulas, credit derivatives, the calculation of economic capital, and risk-adjusted return on capital (RAROC). The nature of bank regulation and the Basel II capital requirements for banks are examined. Case studies illustrate risk engineering successes and failures in financial enterprises.

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