Welcome to the Centre for International Central Bank Dialogue
Online Course "Introduction to Mathematical Methods for Banking Supervisors", from 24.08.2027 till 26.08.2027
Please note that this course is online
Objective
Quantification of risks is key to effective risk management in banks. Banks use models to determine minimum capital requirements and for internal risk quantification purposes (e.g. in the ICAAP), in particular for credit and market risk. Risk models often include complex mathematical concepts and methods. Supervisors need to have some basic knowledge of mathematics and statistics to be able to discuss these models with their supervised institutions on an appropriate level and to detect possible weaknesses. This course aims to provide non-mathematicians with a basic understanding of important mathematical concepts, and, generally, of assumptions, limitations and common pitfalls when quantifying risks.
During the first three course days, participants will gain insight into how risks could be quantified and will learn to critically assess the reliability and applicability of quantitative methods. Real-world case studies and examples will illustrate both, the power and the boundaries of mathematical models, helping learners to recognize situations where model results may be misleading or insufficient.
By the end of the course, participants will be equipped with the knowledge needed to apply basic mathematical tools for risk quantification, understand the importance of context and assumptions, and identify potential challenges in the quantification process. A follow-up one week later (31.08.2027) will give participants the chance to discuss specific questions arising from their own experiences and interests.
Content
- Introduction to mathematics in risk control
- Time series and estimation; random variables, density functions and quantiles
- Independence and correlation; types of correlation risk
- Understanding complex regulatory formulae: the Basel formula for risk weights
- Application of the Basel formula for different types of credit portfolios, and basics of credit portfolio modelling
- Model types and estimation methods in risk control, especially for market risk
- Historical simulation vs. Monte Carlo simulation
- Practical examples and calculations
Target group
Banking supervisors with at least a basic understanding of mathematics and statistics. The course is aimed specifically at non-mathematicians who are interested in quantitative topics and would like to gain deeper insights into risk quantification. Participants should be prepared to contribute to the seminar by answering questions and performing calculations, e.g. in Excel.