This unit examines the tools used to measure market and credit risk. With respect to market risk, attention is focussed on the Value at Risk (VaR) model, its relation to other risk measures, its limitations and how the model is used by regulators. The unit also covers measurement of both retail and commercial credit risk, including credit risk modelling, and approaches to pricing and provisioning for credit risk. Stress testing and scenario analysis are also reviewed in this unit, including approaches to stress testing, scenario selection and fitting the institution to the model. -- Course Website
Instructor: Associate Professor Robert Trevor
Prerequisites: Admission to MFinReg
