Mathematical models for banking supervisors Online course

Objective

Banks use models to determine minimum capital requirements, e.g. for credit and market risk. These models often include complex mathematical methods, such as stochastic calculus, and supervisors need dedicated mathematical and statistical backgrounds to be able to discuss these models with their supervised institutions at an appropriate level.

This course aims to explain mathematical methods and the underlying assumptions used in banks’ regulatory and internal models for minimum capital requirements. Participants should be prepared to contribute actively to the seminar 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 interaction between participants and speakers.

Content

  • Day 1:
    • Introduction to mathematics in risk control
    • Time series and estimation
    • Random variables, density functions and quantiles
    • Independence and correlation
  • Day 2:
    • Reading and understanding complex regulatory formulas: The Basel Formula for Risk Weights
    • Economic and mathematical background of the Basel Formula
    • Application of the Basel Formula for different types of credit portfolios
    • Practical examples and calculations
  • Day 3:
    • Model types and estimation methods in risk control, especially for market risk
    • Historical simulation vs. Monte Carlo simulation
    • Types of correlation risk

Target group

On-site and off-site banking supervisors with a good knowledge of regulatory capital requirements and at least basic knowledge of mathematics and statistics. The course is aimed specifically at non-mathematicians who are interested in quantitative topics. Participation is required on all three days. Those who attend all of the sessions will receive a certificate.

Technical requirements

Computer with microphone, camera, speakers or headphones, current internet browser.

Deadline for application

22 October 2020