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Risk Management in Financial Institutions

Course title

Risk Management in Financial Institutions


 MFB 5192


Goran Petrevski

Course objectives (competences):

After completing this course, students should:

  • understand the main elements of credit risk as well as the main risk drivers,
  • understand the international regulation of credit risk and capital adequacy,
  • be familiar with the most important statistical and econometric models of credit risk,
  • obtain insight into modelling the standalone credit risk,
  • acquire knowledge about modelling the credit risk correlation and the portfolio credit risk
  • bi familiar with measuring the market risk (Value-at-Risk).
Course content:
  • Credit risk building blocks: Expected loss, Unexpected loss, Probability of default, Exposure at default, Loss given default
  • International capital regulation: Basel I, Basel II, Basel III
  • Value at Risk: Variance-covariance method, Historical VaR, Simulation methodology, VaR for credit risk
  • Credit risk drivers: Exposure risk, Default and migration risks, Recovery risk, External ratings, Internal rating systems
  • Statistical and econometric models of credit risk
  • The option approach to default and migrations
  • Standalone credit risk distributions
  • Modelling credit risk correlations
  • Portfolio loss distributions
  • Loss distributions and transition matrices.
70 години

Во 2020 Економскиот факултет при Универзитетот “Св. Кирил и Методиј” во Скопје слави 70 години од своето основање.