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DTSTAMP:20260505T105836Z
DTSTART;VALUE=DATE:20250331
DTEND;VALUE=DATE:20250402
SUMMARY:Introduction to mathematical models for banking supervisors
TRANSP:TRANSPARENT
UID:2025_03_31_introduction_to_mathematical_models_940756
DESCRIPTION:Duration\n\n3 days\n\nApplication deadline\n\n14 March 2025\n
 \nObjective\n\nBanks use models to determine minimum capital requirement
 s and for internal risk management purposes (ICAAP)\, e.g. for credit an
 d market risk. These models often include complex mathematical methods\,
  such as stochastic calculus. Supervisors need to have some knowledge of
  mathematics and statistics to be able to discuss these models with thei
 r supervised institutions at an appropriate level.\n\nThis course aims t
 o provide an overview and explain some important mathematical methods an
 d the underlying assumptions used in banks’ regulatory and internal mode
 ls for minimum capital requirements.\n\nContent\nIntroduction to mathema
 tics in risk control\nTime series and estimation\nRandom variables\, den
 sity functions and quantiles\nIndependence and correlation\nReading and 
 understanding complex regulatory formulae: the Basel formula for risk we
 ights\nEconomic and mathematical background of the Basel formula\nApplic
 ation of the Basel formula for different types of credit portfolios\nPra
 ctical examples and calculations\nModel types and estimation methods in 
 risk control\, especially for market risk\nHistorical simulation vs. Mon
 te Carlo simulation\nTypes of correlation risk\n\nTarget group\n\nOn-sit
 e and off-site banking supervisors with a good knowledge of regulatory c
 apital requirements and at least a basic understanding of mathematics an
 d statistics. The course is aimed specifically at non-mathematicians who
  are interested in quantitative topics. Participants should be prepared 
 to contribute actively to the seminar by answering questions and perform
 ing calculations\, e.g. in Excel.
LOCATION:Online platform
CONTACT:Deutsche Bundesbank – CIC\, tzk@bundesbank.de\, +49 69 9566-36605
 
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