Lehrveranstaltungen im Wintersemester 15/16

Lecture & Exercise

Quantitative Aspects of Financial Regulation

  • Prof. Dr. Florentina Paraschiv
Wintersemester 2015/2016
Only in WS 15/16
Tuesday 12-4 pm (12:00-16:00)
T03 R03 D75
Veranstaltung in Moodle
Veranstaltung im LSF


In the post crisis period, topics like interest rate risk, liquidity risk or credit risk particularly attracted the attention of financial regulators. The Basel Committee highlighted weaknesses in the organizational aspects of stress testing programs and practices prior to the start of the crisis. Finding rigorous risk measures for the trading book is a key actual issue in the financial institutions. Therefore, it is of major importance, in our days, to get a deep understanding of the risk management and measurement methodologies as well as an overview of the current regulatory framework.

The objectives of this course is to offer a comprehensive view of the financial regulators regarding the interest risk and liquidity risk management, credit risk and operational risk issues, as well as on the regulator’s requirements on stress testing procedures. After understanding the regulatory framework, students have the opportunity to learn about risk measurement techniques proposed by the academic literature, or widely used in the industry. Case studies will help students to come closer to the implementation of notable stress testing techniques like stressed VaR, time-varying volatility in VaR or extreme value theory application.


The course is ideal for students who intend to pursue a career or with strong interest in the risk management and measurement field. As technical prerequisites, students are expected to have a good knowledge of statistics and econometrics and a basic experience with Eviews/Matlab.


The course will be structured accordingly to the following aspects:

  • Theoretical aspects: Basel Principles for interest risk, liquidity risk, credit risk or operational risk, as a fundamental review of the regulatory framework for the risk management
  • Quantitative aspects: different risk measurement modeling approaches will be presented in detail. Practical examples and computer exercises will help students to get an overview on the applicability of various models.


  • Matz, L. & Peter, N., 2007. Liquidity Risk Measurement and Management, Wiley Finance.
  • Uyemura, D-G- & van Deventer, D.R., 1993, Financial Risk Management in Banking, McGraw-Hill.
  • Zagst, R., 2002, Interest Rate Management, Springer.
  • Bhatia, M., 2006. Credit Risk Management & Basel II, Risk Books.
  • Balkema, G., Embrechts, P., 2000. High Risk Scenarios and Extremes. A Geometric Ap-proach, Zürich Lectures in Advanced Mathematics.
  • Basel Committee on Banking Supervision, 2009, Principles for sound stress testing practives and supervision. Bank for International Settlements, Basel.
  • Basel Committee on Banking Supervision, 2004, Principles for management and supervision of interest rate risk. Bank for International Settlements, Basel.
  • Basel Committee on Banking Supervision, 2009, International framework for liquidity risk measurement standards and monitoring. Bank for International Settlements, Basel.
  • Verbeek, M., 2008. A Guide to Modern Econometrics. Wiley, Chapters 8, 9.