This book shows how modern risk management in banks and insurance companies can be modeled in Excel and Matlab. Readers are provided with all the necessary knowledge and skills in a systematic and structured step-by-step manner. Apart from basic Excel knowledge, no previous knowledge is required. The textbook is divided into five parts. First, the reader learns the basics of analyzing and modeling market risks. Next, the authors introduce and explain the modeling of credit risks and operational risks are quantified by calibrating loss distributions based on expert estimates. Furthermore, individual risk measures are examined in more detail. In order to calculate a risk measure for an overall portfolio to determine the risk capital, the question of the aggregation method is discussed. There are various common concepts for this, which are examined in more detail in the last part of the book.

The book is aimed at students of business administration with a focus on financial services. Accompanying the book, readers receive Excel spreadsheets as digital bonus material for practice and application.

Explains how to use Excel and Matlab to assess risks in banks and insurance companies Offers additional Excel spreadsheets for students to practice Describes the application in a structured, step-by-step manner

Autorentext

Anja Bettina Blatter is Professor of Quantitative Methods in Finance at the Nuertingen-Geislingen University (HfWU), Germany. Sean Bradbury is a lecturer in Empirical at the Nuertingen-Geislingen University (HfWU), Germany Pascal Bruhn is a lecturer in the master program International Finance at the Nuertingen-Geislingen University (HfWU), Germany Prof. Dr. Dr. Dietmar Ernst is Professor of International Finance at the Nuertingen-Geislingen University (HfWU), Germany, and Director of the European Institute of Quantitative Finance (EIQF).

Inhalt

Introduction.- Course 1: market risks.- Course 2: credit risks.- Course 3: operational risks.- Course 4: risk management.- Course 5: aggregation.