HSBC Quant Academy for AGH WMS

Goal

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.

Calendar

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 agreements	slides	See references in the slides
2	Introduction to banking	History, specialisation and risk in banks	slides Financial Statements HSBC	See references in the slides
3	Risk in banking	Types of risk, taxonomy, and risk management.	slides HSBC Risk Review case study CDS case study framework case study stock
4	Cohrent Risk Measures	Approaching risk measures axiomatically introduces the concept of coherent risk measures and we explore the important consequences.	handouts	Date Title Journal Download 2016 Proposal for a Practical Implementation of Maslowian Portfolio Theory "Problemy Zarządzania" 2016, vol. 14, nr 4(63), t. 1, pp. 39 - 56 draft 2016-02-03 The Importance of Thinking Coherently for Strategic Asset Allocation Journal Journal of Advances in Management Sciences & Information Systems, Vol 2. 2016, DOI: http://dx.doi.org/10.6000/2371-1647.2016.02.03 author's copy 2011-03-19 Target Oriented Investment Advice Journal of Asset Management, 30 June 2011, DOI: http://dx.doi.org/10.1057/jam.2011.31 author's copy 2010-05-19 Maslowian Portfolio Theory Journal of Asset Management, 9 (6), pp. 359–365. DOI: http://dx.doi.org/10.1057/jam.2008.35 author's copy'

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Exam

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

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