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Department: MSc Finance
Module Description: The purpose of this module is to analyze the approaches to financial (market), credit and Operational risk measurement & management for banks and financial institutions mainly in context of Basel guidelines. It also discusses the pricing and valuation of some existing structured derivative products.
- Basel Committee on Banking Supervision. (2006). International convergence of capital measurement and capital standards. A revised framework: comprehensive version. Switzerland: Bank for International Settlements. Open resource
- Bonti, G., Kalkbrener, M., Lotz, C. and Stahl, G. (2006). Credit risk concentrations under stress. Journal of Credit Risk, vol.2 (3), pp. 115-136. Request this item
- Chance, D. M. and Brooks, R. (2013). An introduction to derivatives & risk management. 9th edn. Ohio: South-Western/Cengage Learning.
- Dugan, J. C. (2007). Turmoil in financial markets: what central banks can do? Paper submitted to the Treasury Committee Mervyn King, Governor of the Bank of England. New York: Bank Regulation and Risk Management. Open resource
- Levich, R.M. (2001). International financial markets: prices and policies. McGraw-Hill International edition.
- Ong, M. K. (ed.). (2007). The Basel handbook: a guide for financial practitioners. 2nd edn. London: Risk Books.
- Saunders, A. and Cornett, M. (2018). Financial institutions management: a risk management approach. 9th edn. Boston: McGraw-Hill.
- Schroeck, G. (2002). Risk management and value creation in financial institutions. Hoboken, NJ: John Wiley & Sons.