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SUMMARY:Mathematical models for banking supervisors
TRANSP:TRANSPARENT
UID:2023_02_28_mathematical_models_881804
DESCRIPTION:Application deadline\n\n10 February 2023\n\nObjective\n\nBank
s use models to determine minimum capital requirements\, e.g. for credit
and market risk. These models often include complex mathematical method
s\, such as stochastic calculus. Supervisors need to have dedicated math
ematical and statistical backgrounds to be able to discuss these models
with their supervised institutions at an appropriate level.\n\nThis cour
se aims to explain mathematical methods and the underlying assumptions u
sed in banks’ regulatory and internal models for minimum capital require
ments. Participants should be prepared to contribute actively to the sem
inar by answering questions and performing calculations\, e.g. in Excel.
The number of participants for this course will be strictly limited to
allow for maximum effectiveness and optimal interaction between particip
ants and speakers.\n\nContents\nIntroduction to mathematics in risk cont
rol\nTime series and estimation\nRandom variables\, density functions an
d quantiles\nIndependence and correlation\nReading and understanding com
plex regulatory formulas: the Basel formula for risk weights\nEconomic a
nd mathematical background of the Basel formula\nApplication of the Base
l formula for different types of credit portfolios\nPractical examples a
nd calculations\nModel types and estimation methods in risk control\, es
pecially for market risk\nHistorical simulation vs. Monte Carlo simulati
on\nTypes of correlation risk\n\nTarget group\n\nOn-site and off-site ba
nking supervisors from central banks with a good knowledge of regulatory
capital requirements and at least basic knowledge of mathematics and st
atistics. The course is aimed specifically at non-mathematicians who are
interested in quantitative topics.\n\nTechnical requirements\n\nCompute
r with microphone\, camera\, speakers or headphones\; an up-to-date inte
rnet browser.
LOCATION:Online platform
CONTACT:Deutsche Bundesbank – CIC\, tzk@bundesbank.de\, +49 69 9566-36605
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