logo-eui RSCAS

Credit and Market Risk Management: A Value-based Approach

When:
June 28, 2018 – June 29, 2018 all-day Europe/Rome Timezone
2018-06-28T00:00:00+02:00
2018-06-30T00:00:00+02:00
Where:
EUI Premises, Florence
Via Giovanni Boccaccio
121, 50133 Fiesole FI
Italy
Contact:
FBF Secretariat
[+39] 055 4685739

Course Instructors: Jean Dermine (Insead)
Area: Risk Management
Level: Intermediate

This course will focus on the following topics:

  • Probability of Default (PD) calibration and validation
  • Loss Given Default (LGD) – What do we know about LGDs?
  • Discount rate in LGDs.
  • Regulatory updates regarding LGDs.
  • Value-at-Risk.

This course is targeted at Financial stability and research department of Central Banks, Ph. D. students, private sector economists, EU officials.

Click here for further information and registration