ΑΝΑΛΥΣΗ ΚΙΝΔΥΝΟΥ ΙΙ
Course content: Interest rate risk, the repricing gap and the duration gap models. Market risk, the variance covariance model, VaR models, application. Liquidity Risk. Credit Risk, credit rating models, PD LGD and EAD, CreditVaR models. Operational Risk the OpVar method. Capital Requirements and regulation, the Basel Accords. Capital Management and Value creation.
A.Resti and A.Sironi: Risk management and Shareholder’s value in Banking. Wiley finance.
- Duration 3 Ώρες