The financial investments and risk management profile of the course is to find out the financial risk management process. Measuring, controlling and managing steps will be analysed for the following investments and risks:
• credit risk and credit derivatives;
• interest, exchange and funding liquidity risk and the asset liability management process (ALM);
• market risk and liquidity, valuating the estimation of the value-at-risk (VAR) and alternative solutions (e.g. expected shortfall or CVAR);
• operational, and principal advanced models (AMA) implemented within financial intermediaries.
• reputational and compliance risks, in order to evacuate the new banking function.
Application of theory are based on R language.
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