Credit and Operational Risk Management


This course delves more deeply into specific areas of credit and operational risk and risk management. Various methods of measuring default risk – from an actuarial as well as a market price perspective – will be reviewed. Techniques for measuring credit and managing credit risk exposure will be covered along with a treatment of credit derivatives and structured credit products. Significant topics in operational risk and firm-wide risk management will be covered in this course. This will include a discussion of risk capital, RAROC (risk-adjusted return on capital), and an introduction to extreme-value theory.

Professors: Raymar 
Syllabus