Topics in Market and Credit Risk

One of the most important aspects of the use of mathematical modeling in the banking and financial industry is the determination of regulatory capital: the amount of money to be set apart to cover for losses.

As large banks use their own models to determine such capital, the need for understanding the nature of these risks is crucial. Likewise, the understanding of the nature of risks is important to devise portfolios that aim to diminish risk. The course seeks to cover the basic aspects of credit risk measurement in two of the main activities of financial institutions, namely, that of investing and lending.