Objectives
The objective of this specialisation course is to study in depth the measurement systems of three of the most important current financial risks: market, operating and credit, where the changes that have arisen as a result of the Basel I and II agreements have generated and will generate a clear quantitative need for new modelling tools, for the management and control of risks in financial entities.

Participants
Professionals from the financial sector of the financial market and risk control areas
Professionals from the finances areas of non-financial companies.
Other people interested with a solid knowledge of financial market finances.

Programme
1. Introduction to the administration function of financial risks

2. Modelling of the market risks (I): Value at Risk (VaR), calculation, advantages
    and disadvantages

- Basic concepts of the value at risk model
- Methodologies to calculate the VaR: parametric and non-parametric
- VaR of an individual asset and for asset portfolios
- Limitations of the VaR
- Statistical simulation tools for risk control (@Risk)
- Risk in monetary market: VaR for debt instruments and their portfolios
- Risk in derivative products: VaR for futures positions, forwards , FRAY, swaps of 
   interest rate and currencies

3. Modelling the market risk (II): applications with multivariate statistical
     methods (components and factorial)

- Multivariate techniques (components and factorial). Methodological aspects
- Identification of the risk factors via multivariate techniques

4. Extreme Value Theory (EVT): additional methods for the analysis of VaR in extreme
    market situations

5. Modelling credit risks: before and after the Basel I and II agreements

- Relations between the market risk and the credit risk. Concepts and tools: risk
   exposure, default probability, recuperation rate, transitions and correlations
- Risk models in financial entities: econometric model (Altman's Z-Score and
  Probit or Logit models ), options theory models (KMV and Moody's) and artificial
   neuronal networks 
- Methodologies for measuring credit risk (CreditVaR): CreditMetrics, model KMV,
  CreditRisk+

6. Modelling operational risk: Problems of implementation and development of internal
    models (adapted to the Basel II regulations)

- Operational risk and models accepted at Basel II
- Qualitative approaches versus quantitative approaches to operational risk
  and implementation of an appropriate framework for operational risk assessment
- Modelling of databases: risk indicators and control factors
- Development of the VaR for operational risk and differences with the market and
  credit VaR

Computer support:  Scientific Addlink software

Dates:  February and March

Hours:  Mondays and Wednesdays

Duration:  33 hours

Place:  IEF classrooms, Gran Vía, 670, 2º, - 08010 Barcelona