- This course will provide students with a comprehensive overview of the main types of risk that have such a substantial impact on international firms and financial institutions.
- Know basic functions of financial risk management.
- Forecast the financial risks that financial institutions and corporations could face in the international market.
- Measure the risks that arise from financial markets - such as credit risk, market risk, liquidity risk and sovereign risk.
- Classify derivative instruments that could be used in managing the risks of financial institutions and international corporations.
- Introduction to Financial Risk ManagementSources of financial risk. Diversification. Risk Management Process. Factors that Impact Financial Rates and Prices. Theories of Interest Rate Determination. Financial Risk Management: A Selective History.
- Interest Rate RiskThe repricing model. Rate-Sensitive Assets and Rate-Sensitive Liabilities. Spread effect. The term structure of interest rates. Unbiased Expectations Theory. Liquidity Premium Theory. Forecasting Interest Rates.
- Credit Default RiskCommercial and Industrial Loans. Real Estate Loans. Individual (Consumer) Loans. The Contractually Promised Return on a Loan. The Expected Return on a Loan.
- Sovereign RiskDebt Repudiation Versus Debt Rescheduling. Country Risk Evaluation. Variance of Export Revenue (VAREX). Using Market Data to Measure Risk: The Secondary Market for LDC and Emerging Market Debt.
- Off-Balance-Sheet Risk and Liquidity RiskOff-Balance-Sheet Activities and Fi Solvency. Returns and Risks of Off-Balance-Sheet Activities. Loan Commitments. Commercial Letters of Credit and Standby Letters of Credit.
- Managing RiskCredit Risk Management. Calculating the Return on a Loan. Comparison of Hedging Methods.
- Interim assessment (1 module)0.25 * Assignment test + 0.5 * Final examination + 0.25 * Home project
- Población García, F. J. (2017). Financial Risk Management : Identification, Measurement and Management. Cham: Palgrave Macmillan. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1292890
- Tarantino, A., & Cernauskas, D. (2011). Essentials of Risk Management in Finance. Hoboken, N.J.: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=352036