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CERA

13 - 16 Feb 2024

Web Session CERA, Module A: Quantitative Methods of ERM

Tuesday, 13 February 2024

09:00 - 09:30 Overview of the EAA-route to the CERA designation (Frey, Wolf)
09:30 - 10:30 Risk measures (Wolf)
10:30 - 10:45 Break
10:45 - 11:30 Risk Measures (Wolf)
11:30 - 11:45 Break
11:45 - 12:30 Risk Measures and Exercises (Wolf)
12:30 - 13:30 Break
13:30 - 14:00 Exercises (Wolf)
14:00 - 15:00 Tails of distributions and Extreme value theory (Frey)

Wednesday, 14 February 2024

09:00 - 10:30 Multivariate Models and Copulas (Frey)
10:30 - 10:45 Break
10:45 - 11:30 Dependence Modelling and copulas (Frey)
11:30 - 11:45 Break
11:45 - 12:30 Dependence Modelling and exercises (Frey)
12:30 - 13:30 Break
13:30 - 15:00 Integrated Risk Management and exercises (Frey)

Thursday, 15 February 2024

09:00 - 10:30 Interest rates: products and models (Wolf)
10:30 - 10:45 Break
10:45 - 11:30 Interest-rate models (Wolf)
11:30 - 11:45 Break
11:45 - 12:30 Exercises (Wolf)
12:30 - 13:30 Break
13:30 - 15:00 Interest rate risk management (incl. exercises) (Wolf)

Friday, 16 February 2024

09:00 - 10:15 Credit risk: basics and modelling (Frey)
10:15 - 10:30 Break
10:30 - 11:30 Credit Risk modelling (Frey)
11:30 - 11:45 Break
11:45 - 12:30 Credit risk: modelling and management (Frey)
12:30 - 13:30 Break
13:30 - 15:00 Credit risk: special topics and exercises (Frey)
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(Time zone: CET - Central European Time)

Seminar Details

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CPD Credits