Financial Risk Management and Derivatives 235221-D
Wykład (WYK) Semestr letni 2024/25

Risk management system. Goals. Exposure.

Measuring risk. Traditional measures. Value at Risk. EaR. CFaR. Hedging and speculation.

Interest rate risk. Term structure of interest rates. Conversions.

Spot and forward interest rates. Bootstrapping.

Interest rate exposure. Stochastic methods. Interest rate gap.

Interest rate derivatives (FRA, IRS, interest rate futures and options).

Currency risk. Spot and forward foreign exchange rates. Theories.

Currency exposure. Value at Risk. Currency strategies. Performance attribution.

Currency derivatives: forward, futures, Currency Interest Rate Swap, Currency Basis Swap and currency options).

Currency risk management with forward, futures and options. Hedge ratios.

Credit risk. Ratings. Default Probabilities. Recovery Rates.

Credit exposure. Simulation methods. Structural and reduced-form models.

Credit risk management systems (CreditRisk+, KMV and EDF, CreditMetrics, Credit Portfolio View).

Credit derivatives (Credit Default Swap, Total Return Swap, credit forward and credit options).

Operational risk. Integrated systems. Current problems.