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Обычная версия сайта
Бакалавриат 2019/2020

Модели оценки рисков

Статус: Курс по выбору (Экономика)
Направление: 38.03.01. Экономика
Когда читается: 4-й курс, 3 модуль
Формат изучения: Full time
Язык: английский
Кредиты: 3

Course Syllabus

Abstract

The course provides a practical introduction to risk management from two different perspectives: enterprise risk management and risk analytics. The corresponding part of the course explains how corporations should consider and manage their risks on different levels, how this process should be structured, how responsibilities and roles should be distributed among key participants of the process and what conditions the sound risk management system should satisfy.
Learning Objectives

Learning Objectives

  • To apply obtained knowledge by students to the analysis of a real case of the risk management system failure.
  • To apply studied concepts and methods to quantifying market risk (stock and bond portfolios) and credit risk (loan portfolio).
Expected Learning Outcomes

Expected Learning Outcomes

  • Identify, classify and analyze enterprise risks.
  • Critically analyze a corporate process from risk management view.
  • Select data for the quantitative risk analysis.
  • Assess the quality and limitations of risk models in a different context.
  • Make their own assumptions and evaluate them from the perspective of practically reliable risk assessment.
  • Build, estimate, apply and validate several models to real data in order to assess portfolio market and credit risk.
Course Contents

Course Contents

  • Enterprise risk management.
  • Basics of risk assessment methodology.
  • Quantitative method of portfolio market risk assessment.
  • Quantitative method of portfolio credit risk assessment.
Assessment Elements

Assessment Elements

  • non-blocking Risk management failure case study
  • non-blocking Calculation assignment on measuring market risk
  • non-blocking Calculation assignment on measuring credit risk
Interim Assessment

Interim Assessment

  • Interim assessment (3 module)
    0.35 * Calculation assignment on measuring credit risk + 0.35 * Calculation assignment on measuring market risk + 0.3 * Risk management failure case study
Bibliography

Bibliography

Recommended Core Bibliography

  • Crouhy, M., Mark, R., & Galai, D. (2006). The Essentials of Risk Management. [New York]: McGraw-Hill Professional. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=309132

Recommended Additional Bibliography

  • Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts. (2015). Quantitative Risk Management: Concepts, Techniques and Tools Revised edition. Princeton University Press. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.b.pup.pbooks.10496