See the unit description on Learn@WU (lower section).

Based on the recommendations of the Vice-Rector for Teaching and Student Affairs this course will be organized in the form of asynchronous distance learning. All lecture dates are cancelled and there are no synchronous online sessions.

After completing this course the student will have the ability to

· understand the institutional background for modern risk management in the banking industry,

· understand the central regulatory requirements for market

· understand the statistical concept of important market risk measures (VaR, CVaR)

· compute market risk measures for real-word portfolios

There is no attendance requirement for this course.

The course is taught using a comprehensive case study consisting of two parts. Students are expected to independently work on the case study in small teams. For each part of the case, teams are expected to deliver the first version of their solution at a fixed deadline. After having received feedback from the instructor, teams have some time to integrate this feedback into the final solution. The following timeline applies:

May 5, 2020                   Distribution of cases, data and accompanying learning material

May 29, 2020                 Intermediate solution of part 1

June 9, 2020                   Final solution of part 1

June 16, 2020                 Intermediate solution of part 2

June 26, 2020                 Final solution of part 2

25%       Intermediate presentation of market risk case

25%       Intermediate presentation of credit risk case

25%       Final presentation of market risk case

25%       Final presentation of credit risk case

· Good knowledge of financial markets and instruments

· Good knowledge of statistical inference

· Basic knowledge of corporate finance

· Excellent command of R