2025/2026
Финансовый риск-менеджмент
Статус:
Маго-лего
Кто читает:
Департамент финансов
Где читается:
Санкт-Петербургская школа экономики и менеджмента
Когда читается:
4 модуль
Охват аудитории:
для своего кампуса
Преподаватели:
Мунензон Михаил
Язык:
английский
Кредиты:
3
Контактные часы:
32
Course Syllabus
Abstract
This course will cover the topic of risk. Though relevant theory will be introduced, the focus will be on the practitioner perspective and practical applications in a broad range of financial situations such as corporate decision making, investing, trading, and portfolio management.
Learning Objectives
- This course will cover the topic of risk. Though relevant theory will be introduced, the focus will be on the practitioner perspective and practical applications in a broad range of financial situations such as corporate decision making, investing, trading, and portfolio management. For example, we will try to define what risk is, how it can be estimated and why it is often misestimated, what model risk is, the role of risk in markets and other finance situations, how it can be managed, etc. State of the art concepts and methodologies will be integrated throughout the course as necessary.
Expected Learning Outcomes
- • Define what risk is
- • Learn about key risk metrics and their pros and cons
- • Understand how risk can be measured
- • Discuss barriers to proper risk measurement that lead to model risk
- • Learn about the nature of markets and how it impact risk management
- • Learn about behavioral biases that lead to misevaluation of risk
- • Evaluate risk in various common corporate decisions
- • Learn about risk embedded in financial statements
- • Understand the role of investing and risk in it
- • Understand the role of portfolio and risk in it
- • Learn about the role of trading and risk in it
- • Understand various techniques to manage risk in various financial situations
- • Apply risk concepts and techniques in class projects and present their results
- • Apply and improve their public speaking skills
Course Contents
- Definition of risk
- Sources of risk
- Problems of risk estimation
- Risk in corporate decision making
- Risk in financial statement
- Risk in valuation
- Risk in human psychology
- Risk in investing
- Risk in markets
- Risk in trading
Interim Assessment
- 2025/2026 4th module0.2 * Project #1 + 0.2 * Class Participation + 0.4 * Final Project #2 + 0.2 * Presentation of projects
Bibliography
Recommended Core Bibliography
- Financial institutions management: a risk management approach, Saunders, A., 2018
- Финансовый менеджмент : учебник для вузов, Берзон, Н. И., 2014
- Форвардные, фьючерсные и опционные рынки, Буренин, А. Н., 2015
- Экономическая теория денег, банковского дела и финансовых рынков : [учебник], Мишкин Ф., Островская О.К., 2013
Recommended Additional Bibliography
- Beyond value at risk : the new science of risk management, Dowd, K., 1998
- Credit risk measurement : new approaches to value at risk and other paradigms, Saunders, A., 1999
- Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms, Saunders, A., 2010
- Financial risk manager handbook, Jorion, P., 2007
- Risk management and derivatives, Stulz, R. M., 2003
- Risk management and financial institutions, Hull, J. C., 2015
- Theory of financial risk and derivative pricing : from statistical physics to risk management, Bouchaud, J.- P., 2003
- Value at risk : the new benchmark for managing financial risk, Jorion, P., 2007