This seminar aims to introduce the main financial credit and market risks faced by central banks. Experts from Banque de France will present the risk framework (calculation of the Value at Risk and default risk models). They will also present the tools developed in-house to evaluate and manage credit risks, to value the collateral, as well as the accounting and institutional mechanisms dealing with those risks.
Dates: 24–25 May 2023
Apply before: 21 May 2023
The seminar will cover the following topics:
Market VaR: calculation methodology and limits of its use, modelling market VaR of portfolios
Credit risk: definition and credit risk indicators
Credit VaR : Methodology of calculation and uses within Banque de France
Credit risk assessment for foreign exchange reserves
Internal credit assessment tool of issuers and counterparties
Risk management, collateral and valuation: the case of monetary policy in the euro zone
Assets admitted as collateral, notions of valuation and discounts
The single collateral valuation platform within the Eurosystem
Accounting and institutional mechanisms for mitigating financial and operational risks
This seminar is intended for experts working in departments in charge of risk management, market operations, economic and financial studies in a central bank.
Updated on: 01/31/2023 16:34