HSBC Quant Academy for AGH WMS


Last Updated: 2024-05-05


We provide an introduction to quantitative risk management in banking. We start with a general introduction about the history of banks, the types of banks, balance sheets, etc. Then we dive into the different main risk categories such as credit risk, financial market's risk, and counterparty credit risk.


See introduction to the program

Lectures and Content

# Lecture Description Downloads Other Resources
1 Introduction to the program An introduction to the program to set rules and agreementsSee references in the slides
2 Introduction to banking History, specialisation and risk in banksSee references in the slides
3 Risk in banking Types of risk, taxonomy, and risk management.
4 Cohrent Risk Measures Approaching risk measures axiomatically introduces the concept of coherent risk measures and we explore the important consequences.
2016Proposal for a Practical Implementation of Maslowian Portfolio Theory"Problemy Zarządzania" 2016, vol. 14, nr 4(63), t. 1, pp. 39 - 56draft
2016-02-03The Importance of Thinking Coherently for Strategic Asset AllocationJournal Journal of Advances in Management Sciences & Information Systems, Vol 2. 2016, DOI:'s copy
2011-03-19Target Oriented Investment AdviceJournal of Asset Management, 30 June 2011, DOI:'s copy
2010-05-19Maslowian Portfolio TheoryJournal of Asset Management, 9 (6), pp. 359–365. DOI:'s copy'


Students form groups of 3 to 5 people and present a groupwork. The groupworks consists of

  1. choose one of the provided problems
  2. solve the task as proposed
  3. prepare a report about the work
  4. present the work in a short presentation