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Market risk and credit risk have entered a new era for financial institutions. Global bank regulators have imposed stringent plans for financial institutions, requiring them to set aside capital to act as a buffer against losses caused by market and credit risk events. The credit and liquidity crises of 2007 have placed a much-deserved spotlight on credit risk. In 2016, the low-interest-rate environment will give way to rising interest rates, which will bring market risk back onto the radar of banks and their regulators. This course will focus on the risk management aspects of market and credit risk, without delving into detailed numerical calculations. Instead, we will focus on the risk metrics available to senior management in executive dashboards. Working papers of the Basel Committee on Banking Supervision will be addressed. At this point in time, the interaction of market and credit risk cannot be overlooked, so we will explore this interaction along with the importance of liquidity risk.
http://www.sps.nyu.edu/content/scps...991