Duration

3 days

Application deadline

14 March 2025

Objective

Banks use models to determine minimum capital requirements and for internal risk management purposes (ICAAP), e.g. for credit and 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 their supervised institutions at an appropriate level.

This course aims to provide an overview and explain some important mathematical methods and the underlying assumptions used in banks’ regulatory and internal models for minimum capital requirements.

Content

• Introduction to mathematics in risk control
• Time series and estimation
• Random variables, density functions and quantiles
• Independence and correlation
• Reading and understanding complex regulatory formulae: 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
• 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 a basic understanding of mathematics and 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 performing calculations, e.g. in Excel.