Risk Management (MASTER)

Namen predmeta je predstaviti metodologijo upravljanja z različnimi vrstami tveganj, s katerimi se srečujejo upravljavci finančnega premoženja v različnih institucijah (bankah, zavarovalnicah, investicijskih in pokojninskih skladih) in institucije kot take.
Cilj predmeta je usposobiti študente za samostojno kvantitativno, na zakonih verjetnostni in časovnih vrstah temelječo analizo.

1. Foundations of risk management
- The of risk in corporate governance and its role in value creation
2. Random variables
3. Financial losses and risk management
4. Measuring, modelling and managing market risk
- Value-at-Risk (VAR)
- Linear and non-linear risk and hedging
- Simulations
5. Measuring, modelling and managing credit risk
- approaches to measuring credit risk
- Empirical models
- Credit derivatives
- Integrating market and credit risk management
6. Measuring, modelling and managing liquidity risk
7. Measuring, modelling and managing operational risk
8. Integrated approach to risk management
- Regulatory capital requirements (Basel II, Solvency II)
9. Risk management and investment management
10. Extreme events and stres-tests