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Applied Methods for Calculating Risk
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First Week:
 
  1. Basic concepts of risk analysis
Random variable
Deviation and sample error
Normal distribution
Summary statistics
  1. Value at Risk (VaR)
VaR approaches
Historical simulation
Parametric approach to VaR
Monte Carlo Simulation
 
  1. Value at Risk (VaR) (ctd.)
Hybrid approach
Historical simulation for a portfolio of assets
Portfolio mapping
Calculating basis risk
 
Second Week:
 
  1. Solvency valuation models
Applying Altman’s Z score model
Applying Merton model
Using historical data to calculate risk of default
 
  1. Investment Risk
Sharpe ratio calculation
Sortino ratio calculation
RAROC
Adjusted RAROC
 
  1. Credit Risk
Calculating adjusted exposure
Calculating expected loss at default
Calculating unexpected loss at default
Expected default frequency
 
Test
 
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