One of the most important aspects of the use of mathematical modeling in the banking and financial industry is the determination of regulatory capital: the amount of money to be set apart to cover for losses.
As large banks use their own models to determine such capital, the need for understanding the nature of these risks is crucial. Likewise, the understanding of the nature of risks is important to devise portfolios that aim to diminish risk. The course seeks to cover the basic aspects of credit risk measurement in two of the main activities of financial institutions, namely, that of investing and lending.
Henryk Gzyl received a PhD in Mathematics from the University of California at San Diego (1975), and is currently visiting professor at IESA. He has published more than 120 papers on topics related to probability and its applications to mathematical models, financial mathematics and inverse problems.
He has also published four books, and several lecture notes on derivatives and interest rates. His research interests include inverse problems in finance, operational risk, and probabilistic methods in wave propagation. In 1993 he won the National Science Award in Mathematics in Venezuela.