Course Topics.
- The definition and the implications of credit risk for banks and other financial institutions
- The most recent risk regulations for banks: Basel II and Basel III
- How to define the probability of default of a counterparty
- The basics of Credit Default Swaps (CDS)
- What stress-testing is and why it is useful
- How to critically use basic measures of risk like Value-at-Risk and Expected Shortfall: computation and interpretation
- The definition and the use of credit ratings
Course duration: 2 days.