Research Seminar "Risk-Management"

2022/2023

Учебный год

ENG

Обучение ведется на английском языке

8

Кредиты

Кто читает:

Базовая кафедра ПАО Сбербанк «Финансовые технологии и анализ данных»

Статус:

Курс по выбору

Когда читается:

4-й курс, 1-3 модуль

Преподаватель

Степанченко Дмитрий Сергеевич

Course Syllabus

Abstract

The course: “Risk Management” covers core banking activities (Loans, Deposits, Settlements, Trading, Hedging, etc), and associated risk management tools: Credit (EL, UL, vintages, DSCR), Interest rate (Vasicek, HW, NII, EVE), Market (VAR, ES, sensitivities), Liquidity (LCR, NSFR, Survival horizon), foundations of valuation (MPT, Bonds, Options, IRS, various futures etc.) and many others.

Learning Objectives

• The course will give the student a basic understanding of banking products and operations
• The course will give the student a basic understanding of practical tools used to manage risks on the abovementioned products and operations

Expected Learning Outcomes

• Understand the main components of the Balance sheet and the PL of a commercial bank
• Understand the main components of banking products and operations (granting loans, attracting deposits, trading of financial instruments, hedging banking and trading book, etc.)
• Understand basic quantitative and qualitative instruments used in the management of Credit, Market, Operational, Liquidity, Interest rate, FX and ESG risks

Course Contents

• Foundations of risk management
• Credit risks
• Market risk of trading book
• Liquidity risk
• Interest rate risk of banking book
• Currency risk
• Banking failures
• Operational risk
• ESG risks
• Business planning and stress testing

Assessment Elements

• Homework
  After each lecture, possible topics for personal/group research will be provided. The date and format of the preparation of the report/research/case will be discussed with each student.
• Test
  There will be 2 tests at the beginning and in the middle of the course. Each test will have 30 tasks: 20 tests questions (1 point), 10 tasks (from 2 to 4 points). More than 50% correct answers => positive mark
• Exam
  The exam will be held orally. The student receives a ticket which includes 2 questions on the topics covered. After the answer, the student can be asked additional questions on the course program, as well as tasks for understanding the theoretical material. Such tasks do not require extensive calculations.

Interim Assessment

• 2022/2023 3rd module
  0.3 * Exam + 0.4 * Homework + 0.3 * Test

Bibliography

Recommended Core Bibliography

• Financial Risk Management, Eales, B. A., 1995
• Основы риск-менеджмента : учебное пособие, Кулик, В. В., 2016

Recommended Additional Bibliography

• Advanced Strategies in Financial Risk Management, , 1993
• Elements of financial risk management, Christoffersen, P. F., 2003