Programme

CERA

21 - 23 Feb 2022

Web Session: CERA, Module A: Quantitative Methods of ERM

Monday, 21 February 2022

09:00 - 09:30 Overview of the EAA-route to the CERA designation (Frey, Wolf)
09:15 - 10:30 Risk measures (Wolf)
10:30 - 11:00 Break
11:00 - 12:30 Risk Measures and exercises (Wolf)
12:30 - 13:30 Break
13:30 - 15:00 Extreme value theory incl. exercises (Frey)
15:00 - 15:30 Break
15:30 - 16:15 Multivariate Models (Frey)
16:15 - 17:15 Copulas (Frey)

Tuesday, 22 February 2022

09:00 - 10:30 Copulas and Integrated risk management (Frey)
10:30 - 11:00 Break
11:00 - 12:30 Exercises on risk measures and copulas (Frey, Wolf)
12:30 - 13:30 Break
13:30 - 15:00 Interest rates: products and models
15:00 - 15:30 Break
15:30 - 17:15 Interest-rate models (incl. exercises) (Wolf)

Wednesday, 23 February 2022

09:00 - 10:30 Interest rate risk management (incl. exercises) (Wolf)
10:30 - 10:45 Break
10:45 - 12:30 Credit risk: basics and modelling (Frey)
12:30 - 13:30 Break
13:30 - 15:00 Credit risk: modelling and management (incl. exercises) (Frey)
15:00 - 15:15 Break
15:15 - 16:15 Credit risk: special topics and exercises (Frey)
(Time zone: CET - Central European Time)

Seminar Details

Programme

CPD Credits