Introduction to Economic Capital Management and Modelling

Explore the Basel accords from Basel I to Basel IV, detailing capital requirements, risk-weighted assets, and buffers. Learn how securitization, leverage, liquidity, and internal models shape bank resilience and disclosure.

Explore sensitivity, scenario, and stress testing for actuarial models, evaluating how parameter changes affect outputs, plausible future events, and portfolio robustness under extreme conditions.

Explore the mathematical properties of risk measures, including coherence and convexity. Learn how monotonicity, subadditivity, positive homogeneity, and translation invariance shape risk and support diversification.

Explore the Merton model, linking equity and debt through the Black-Scholes framework to estimate default probability and credit spreads, with equity as a call and debt as a put.