HSBC Quant Academy for AGH WMS
Faculty of Mathematics and Computer Science
Last Updated: 2024-10-01
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
| # | Content | Lecturer | Date | Time | Place |
|---|---|---|---|---|---|
| PART I: Introduction to Banking and Risk | |||||
| 1 | introduction and agreements | Philippe De Brouwer | 2024-10-07 | 09:15 – 12:00 | Classroom 1093 |
| 2 | Banking / financial services organizations | Philippe De Brouwer | 2024-10-14 | 09:15 – 12:00 | Classroom 1093 |
| 3 | Risk Management and risk types | Philippe De Brouwer | 2024-10-21 | 09:15 – 12:00 | Classroom 1093 |
| 4 | loss distributions and risk metrics | Jorge Rosales | 2024-10-28 | 09:15 – 12:00 | Classroom 1093 |
| PART II: Market Risk | |||||
| 5 | Coherent Risk Measures | Philippe De Brouwer | 2024-11-04 | 09:15 – 12:00 | Classroom 1093 |
| 6 | Fundamental Review of the Trading Book (FRTB) | Renato Barros | 2024-11-18 | 09:15 – 12:00 | Classroom 1093 |
| PART III: Credit Risk | |||||
| 7 | Introduction to Credit Risk & the modelling framework | Piotr Kobus | 2024-11-25 | 09:15 – 12:00 | Classroom 1093 |
| 8 | Risk-Based Pricing | Roman Ivanov | 2024-12-02 | 09:15 – 12:00 | Classroom 1093 |
| 9 | Regression techniques and scorecards in credit risk modelling | Sattwik Das, Michal Kusy | 2024-12-09 | 09:15 – 12:00 | Classroom 1093 |
| PART IV: Artificial Intelligence (AI) | |||||
| 10 | Machine Learning from the Perspective of an Econometrician | Marcin Jaskowski | 2024-12-16 | 09:15 – 12:00 | Classroom 1093 |
| PART V: Counterparty Credit Risk | |||||
| 11 | Introduction to CCR + XVA | Eray Ferah | 2025-01-20 | 09:15 – 12:00 | Classroom 1093 |
| 12 | Introduction to ST + PVA | Artur Zajac | 2025-01-13 | 09:15 – 12:00 | Classroom 1093 |
| PART VI: Concluding remarks & Exam | |||||
| 11 | Student's presentations & exam | Philippe De Brouwer + voluneteers | 2025-01-27 | 09:15 – 12:00 | HSBC, Ul. Kapelanka 42A, 30-347 Krakow |
Lectures and Content
| # | Lecture | Description | Downloads | Other Resources | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | Introduction to the program | An introduction to the program to set rules and agreements | See references in the slides | |||||||||||||||||||||
| 2 | Introduction to banking | History, specialisation and risk in banks | See 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. |
|
Exam
Students form groups of 3 to 5 people and present a groupwork. The groupworks consists of
- choose one of the provided problems
- solve the task as proposed
- prepare a report about the work
- present the work in a short presentation